摘要
为研究巴拿马型船舶航运市场的期租水平与其他相关市场的相互影响关系,运用定量的向量自回归(VectorAuto Regression,VAR)模型,模拟巴拿马型船舶的期租价格水平的趋势.该方法用脉冲响应函数考察出相关市场的变动冲击对航运期租价格的影响;再通过VAR模型,分析航运市场的期租价格与相关市场的经济变量间的GRANGER因果关系、协整关系.巴拿马型船舶期租租金与各自的指数、二手船价格都构成双向的GRANGER因果关系,但是与原油价格、钢铁产量没有GRANGER因果关系;巴拿马型船舶期租价格对指数和船价市场保持一定的正向趋势.
In order to analyze the relationship between the Panamax shipping market＇ s time charter level and other related markets, the trend of the Panamax shipping market＇ s time charter level is simulated with a VAR （Vector Auto Regression） model Through the the related market＇ s changes on the Panamax shipping impulse response functions, the influence of market＇ s time charter price is obtained. The GRANGER causalities and co-integration relations between the time charter price of the shipping market and the economic variables of other relevant markets are analyzed based on the VAR model. There are bidirectional GRANGER causalities between the Panamax shipping market＇ s time charter price and its price index, between the Panamax shipping market＇ s time charter price and the price of the second-hand ships. There is no GRANGER causality between the Panarnax shipping market＇ s time charter price and the crude oil price, between the Panamax shipping market＇ s time charter price and the output of the steel and iron. There is a positive trend of the Panamax shipping market＇ s time charter price on its price index and the price of ships.
出处
《上海海事大学学报》
北大核心
2009年第2期78-83,共6页
Journal of Shanghai Maritime University
