波罗的海运价指数与样本航线期租的协整关系研究  

Study on the Co-integration Relationship Between the Baltic Freight Index and Prices on Sample Times of Time Charter

作　　者：刘建林[1] 

机构地区：[1]上海海事大学交通运输学院,上海200135

出　　处：《数理统计与管理》2006年第3期293-296,共4页Journal of Applied Statistics and Management

基　　金：上海市高科技发展基金资助(项目编号:021K02);项目名称:航运运价指数期货的体系及其内在机理的基础研究资助

摘　　要：波罗的海运价指数BD I是综合反应干散货航运市场运价总水平的指标,在众多的运价指数中占有公认的主导地位。本文以BD I运价指数为研究对象,通过协整研究,证明了BD I运价指数与BC I4条样本航线期租价格之间稳定的联动关系,并且给出了它们的误差修正模型。The BDI is an important integrated guideline on general level of dry bulky transports market. It is recognized as a dominating index among similar indexes. In this paper we investigate the BDI using the method of co-integration and Granger-causality test in the times serials analysis,our conclusin os that between the BDI and BCI4 has a steady linking relationship, and then we give the ECM.

关 键 词：运价指数 协整 误差修正模型 期租 

分 类 号：F552.5[经济管理—产业经济]