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海岬型海运市场是国际干散货市场中船型最大、最具代表性的市场之一,受到世界经济贸易环境等各种因素的影响,具有高波动性和周期性特征。本文运用互谱分析的理论方法,选择海岬型海运运价指数、海岬型船舶新造船价格以及海岬型船舶成交量等数据,建立其海运和造船两种市场价格周期的互谱分析模型,确定这两类价格周期波动相关程度及相位差,分析两个市场相互波动关联的周期性特征。研究结果表明:海岬型海运和造船等两种市场价格波动周期的相互影响。海岬型新造船价格和运价序列在45个月时的相干性最强;新船成交量序列和运价序列在周期分量36个月和10个月时存在较强的相干性。
Capesize shipping market is one of the largest and most representative markets in the international dry bulk shipping market. Due to various factors such as the world economic and trade environment, Capesize shipping market is characterized by high volatility and cyclicality. In this paper, we use the theory of cross-spectrum analysis to choose capesize sea freight index, capesize newbuilding prices and capesize trading volume, and establish the cross-spectrum analysis model of the price cycle of both ocean shipping and shipbuilding, The correlation between the two types of price cycles and the phase difference, analysis of the cyclical correlation between the two markets volatility characteristics. The research results show that the causal interaction between the market cycles of capesize and shipbuilding. The coherence of Capesize shipbuilding price and tariff series is the strongest at 45 months. There is a strong correlation between the new-ship volume series and the tariff series at 36 months and 10 months.