摘要 散裝航運業者係以提供大宗散裝貨載之服務為主,其承載貨物包含鐵礦砂、穀類、煤礦等,由於鋼價指數散裝航運業者之運價的領先指標,而船舶用油則為航運業者在經營上的重要成本之一,因此本研究藉由資料的收集建立VARMA模型,以找出原油價格與全球鋼價指數之間的連動關係。 本研究經由研究分析的結果顯示如下:(1) 藉由Phillips-Perron-test檢定單根結果顯示原油價格與全球鋼價指數此兩個變數有共整合現象,亦表示原油價格與全球鋼價指數之間存在長期均衡之現象。(2) 原油價格與全球鋼價指數此兩項數列對彼此最佳模式之階次皆為VARMA(3, 2)。(3) 原油價格與全球鋼價指數之間存在單向影響關係,亦即油價只會受到自身油價波動之影響變化,而全球鋼價指數卻受到自身指數變動與油價之波動影響。(4) 原油價格領先全球鋼價指數,亦即原油價格上漲,全球鋼價指數隨後跟著上漲。本文希冀此研究之結果能夠提供投資者於投資時或航運業經營者進行避險時參考使用。
Abstract Bulk shipping industry is to provide the bulk of the service-based bulk cargo, which carry the goods include iron ore, grain, coal, etc. Due to the steel price index for the bulk shipping industry freight is a leading indicator and the shipping oil to the shipping industry in the cost of operating is important, this research assumes the relationship between the oil price and the steel price index and set up the VARMA model to describe their relationship. After investigating and analyzing, the results of this research are as follows: (1) By Phillips-Perron-test inspection shows that the oil price and the steel price index are cointegrated. (2) The oil price and the steel price index for these two time series on the best model of each other are all VARMA (3, 2). (3) The oil price and the steel price index have one-way influence relationship. That is, oil price in terms of its own past, but the steel price index in terms of both its own past and the oil’s past. (4) The oil price leads the steel price index. The results of this study would contribute management references to investor or ship carriers.