The Baltic Dry Index: cyclicalities, forecasting and hedging strategies

被引：49

作者：

Papailias, Fotis ^{[1
]}

Thomakos, Dimitrios D. ^{[2
,3
]}

Liu, Jiadong ^{[1
]}

机构：

[1] Queens Univ Belfast, Queens Univ Management Sch, Riddel Hall,185 Stranmillis, Belfast BT9 5EE, Antrim, North Ireland

[2] Univ Peloponnese, Dept Econ, Tripolis, Greece

[3] Rimini Ctr Econ Anal, Rimini, Italy

来源：

EMPIRICAL ECONOMICS | 2017年 / 52卷 / 01期

关键词：

Baltic Dry Index; Commodities; Concordance; Cyclical analysis; Forecasting; Freights; Hedging; Trade; Turning points; SPOT FREIGHT RATES; SEASONALITY PATTERNS; MARKETS; CYCLES; SECTOR; MODEL;

D O I：

10.1007/s00181-016-1081-9

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

The cyclical properties of the Baltic Dry Index (BDI) and their implications for forecasting performance are investigated. We find that changes in the BDI can lead to permanent shocks to trade of major exporting economies. In our forecasting exercise, we show that commodities and trigonometric regression can lead to improved predictions and then use our forecasting results to perform an investment exercise and to show how they can be used for improved risk management in the freight sector.

引用

页码：255 / 282

页数：28

共 28 条

[1] The non-linear dynamics of spot freight rates in tanker markets [J].