波羅的海運價指數(BDI)與國際市場指數之外溢效果分析

The Study of Spillover Effects for BDI and International Market Index

蘇梓勻(Tzu-Yun Su)

指導教授 ： 陳若暉

中原大學/商學院/企業管理研究所/碩士(2006年)

https://doi.org/10.6840/cycu200600237

摘要

散裝運輸業是一個完全競爭產業，BDI運價指數最能反應散裝運輸產業之景氣。景氣好時，全球基礎建設、貿易量大增，對於原物料的需求增加，像是煤、石油和鋼鐵等原物料之進出口國都會有所影響。由於對原物料需求有賴運輸，在散裝運輸方面，需考量運輸市場之供需外，原油價格亦影響運輸成本以及運價指數的高低。本研究以BDI為主要指標，利用GARCH(1,1)-MA(1)模型探討BDI和原物料指數(西德州原油、路透/Jefferies/商品研究指、全球鋼鐵)之外溢效果，並探討BDI和七國運輸類指數(台灣、中國大陸、韓國、美國、墨西哥、德國、瑞典)之外溢效果。利用績效指標找出最適外溢效果預測模型以供投資人參考。研究結果顯示運價的高低，對於原物料缺乏的國家和全球貿易主要進出口國之運輸類指數較為顯著。國際市場指數方面，中國大陸、德國、韓國、墨西哥、台灣和美國運輸類指數與WTI、全球鋼鐵之原物料指數皆和BDI存有外溢效果。其中，WTI、中國大陸、德國和韓國運輸類指數對BDI和BDI對美國運輸類指數皆存有報酬外溢效果。此外，和BDI有波動性外溢效果主要以亞洲國家為主，特別是BDI和中國大陸運輸類指數有雙向關係。經由績效指標(MAE、MAPE、RMSE)評估BDI和國際市場指數之外溢效果預測，在選用模型上以波動性外溢效果模型預測較為顯著。

關鍵字

BDI ； 外溢效果 ； 散裝運輸 ； GARCH

並列摘要

Baltic Dry Index (BDI), the main indicator for commodity-freight rates, can reflect the boom of the bulk transportation industry which classified as a perfect competition industry. When the business cycle is expanded, global infrastructure and trade volume are heightened, so that the demand for the raw material will increase a lot. The import and export countries with abundant resource such as coal, petroleum and steel will also be influenced. Due to the demand of raw material relying on bulk transportation, we need to consider the demand and supply of shipping market and the crude oil price reflecting to the shipping cost and freight rate index. This research employs BDI as a major indicator and utilitzes GARCH(1,1)-MA(1) model to analyze the spillover effect of BDI and performance for raw material indexes (i.e. West Texas Intermediate, Reuters/Jefferies Commodity Research Bureau, and global steel indexes). Moreover, we further examine the spillover effect between BDI and seven transporting stock indexes (i.e. Taiwan, China, Korea, U.S.A., Mexico, Germany, and Sweden). We use the performance index to find out the better focecasting results of spillover effect for investors. The empirical results indicate that a fluctuated freight rate index not only influences to the country with lacks of raw material, but also highly affect transporting stock index for main import and export countries. The results also show that international market indexes including transporting stock indexes for China, Germany, Korea, Mexico, Taiwan, and U.S.A, WTI and BDI all have spillover effects. We found that WTI and transporting stock indexes of China, Germany, and Korea influence BDI, while BDI influence transporting stock index for U.S.A. reflecting to the spillover effects of returns. Furthermore, the volatility of spillover effect mainly influence on Asian countries, especially for China because of its two-way relations in BDI and transporting stock index. By means of the performance indexes (MAE、MAPE、RMSE) to evaluate the focecasting, we affirm that the volatility of spillover effect between BDI and international market indexes is mostly significant.

並列關鍵字

Spillover Effects ； GARCH ； Bulk Shipping ； BDI

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