金融危机前后国际干散货运输市场波动特征演变  

Evolution of Volatility of International Dry Bulk Shipping Market Under Influence of Financial Crisis

作　　者：邵斐[1] 真虹[1] 韩军 

机构地区：[1]上海海事大学交通运输学院,上海201306 [2]上海国际航运研究中心,上海200082

出　　处：《中国航海》2016年第4期123-128,共6页Navigation of China

摘　　要：基于结构突变模型发现金融危机是导致全球经济与航运市场发生突变的结构断点;建立GARCH族模型对国际航运市场在金融危机前后的波动性进行分析。分析结果表明,国际航运市场在金融危机后表现出复苏周期拉长、预期风险上升、收益下降和利好因素强于利空因素等特征。相关分析有助于深入理解国际航运市场的结构变化,为各方进行收益预估、投资决策及风险控制提供依据。Based on the structural mutation theory,a discontinuous change in the time series of the BDI is demonstrated,and the volatility characteristics transformation is analyzed by GARCH models.The results indicate that due to the structure mutation,the data generating process of the BDI reflect longer recovery cycle,abnormal leverage effect and unusual risk premium under the post-financial crisis.Therefore,it will be helpful for shipping companies to realize the change on the volatility characteristics of the BDI when makine decisions.

关 键 词：交通运输经济学 波罗的海干散货运价指数(BDI) 外生性结构突变 GARCH模型 

分 类 号：F550.5[经济管理—产业经济]