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國際散裝海運市場循環與趨勢特性分析

An Empirical Analysis of the Cycle and Trend of the International Bulk Carrier Market

摘要


本文以X11季節分析法、Hedrick-Prescott filter濾波法、因果檢定,分析散裝海運4個子市場(1.運費;2.新船;3.二手船;4.拆解船)之季節性變動、循環、長期趨勢與關聯性。研究結果發現:(1)經X11季節分析法,運費市場季節波動幅度最大,新船市場波動幅度最小;(2)經Hedrick-Prescott filter濾波法分析,海運4個子市場之景氣循環,循環週期有逐漸縮短與波動劇烈之特性;(3)因果關係檢定獲知,運費市場是其它3市場之領先指標。本研究驗證發現,在2007年底散裝海運運費市場出現高峰轉折向下之跡象,建議船東可將營運船舶採取長期論時傭船方式出租船舶或降低船隊數量,以規避景氣反轉風險。

並列摘要


In this paper we adapt the X11 seasonal analysis, Hedrick-Prescott filter and Granger causality to examine the seasonality, cycle and trend of the international dry bulk market, based on freight rate, new ship, secondhand ship, and demolition prices. After our examination and analysis we found that the freight shipping market had the most volatility, when compared to others. However, the new shipping market had the lightest volatility by X11 seasonal analysis. The period of cycle began to shortened and fluctuating volatility according to the Hedrick-Prescott filter analysis of the bulk shipping market. Moreover, we found that the freight rate market is the leading indicator of the four sub-markets, by a Granger test. In this paper we suggest the ship-owner to create a strategy for long term time-charters or decrease the fleet number by following the shipping freight market cycle downward at the end of 2007.

並列關鍵字

Bulk market Cycle Trend Hedrick-Prescott filter

參考文獻


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被引用紀錄


梁涵葳(2012)。波羅的海海岬型船運費指數與亞洲鋼價指數之關聯性研究〔碩士論文,長榮大學〕。華藝線上圖書館。https://doi.org/10.6833/CJCU.2012.00027
王紹明(2011)。製藥產業營收與股價之季節指數特性與因果關係之實證研究〔碩士論文,國立臺北大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0023-1502201113502200
羅翎(2014)。運用時間數列分解法建構創新區域行銷組合差異化之研究〔碩士論文,國立臺北大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0023-2811201414220156
謝宗憲(2014)。波羅的海運價指數與股價指數及原物料價格指數之關聯性〔碩士論文,國立中正大學〕。華藝線上圖書館。https://www.airitilibrary.com/Article/Detail?DocID=U0033-2110201613580746

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