FFA市场与二手船市场的波动溢出效应  

Volatility Spillover Effects Between Forward Freight Market and Second-hand Ship Market

作　　者：杨芊 林国龙[2] 丁一[2] 温馨[2] 

机构地区：[1]上海中远国际货运有限公司,上海200086 [2]上海海事大学物流研究中心,上海201306

出　　处：《武汉理工大学学报（交通科学与工程版）》2015年第5期1001-1004,1009,共5页Journal of Wuhan University of Technology（Transportation Science & Engineering）

基　　金：国家自然科学基金项目(批准号:71101088);国家高技术研究发展计划(863计划)项目(批准号:2013A2041106);教育部博士基金项目(批准号:20113121120002);国家自然科学基金委员会项目(批准号:71301101)资助

摘　　要：文中采用Johansen协整检验和Granger因果关系检验,对FFA成交价格与二手船市场成交价格进行了相关建模分析,从而分析航运市场中的远期运费市场和二手船市场之间存在着波动溢出关系.考察了远期运费市场(FFA)与二手船市场的关系.实证分析说明,证实了FFA市场对二手船市场存在因果关系,具有较强的引导作用,二手船市场会受到FFA价格变化及其过去行为的影响,理解两者之间的相关性有助于船运公司和政府等部门做出更好的决策.For analysing the relationship between forward freight market and second‐hand ship market in the shipping market ,we using the Johansen co‐integration test and Granger causality test method to test the volatility spillover effect between FFA market and second‐hand ship market .And explore the relationship between forward freight market （FFA） and second‐hand ship market .The empirical anal‐ysis show s that ：FFA market has a has a strong guiding role to the secondhand ship ,second‐hand ves‐sel market will be affected by FFA price and the impact of past behavior ,understanding the relation‐ship between these two markets can help shipping companies and government making better decisions .

关 键 词：远期运费市场 二手船市场 JOHANSEN协整检验 GRANGER因果关系检验 

分 类 号：F560.6[经济管理—产业经济]