The non-linear dynamics of spot freight rates in tanker markets

被引：84
作者：
Adland, R
Cullinane, K
机构：
[1] Univ Newcastle Upon Tyne, Sch Marine Sci & Technol, Newcastle Upon Tyne NE1 7RU, Tyne & Wear, England
[2] Clarkson Res Studies, London EC3A 7BP, England
[3] Norwegian Sch Econ & Business Adm, London EC3A 7BP, England
来源：
TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW | 2006年 / 42卷 / 03期
关键词：
tanker markets; freight rates; non-linear dynamics; oil tranportation; Markov; mean reversion;
D O I：
10.1016/j.tre.2004.12.001
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
The purpose of this paper is to investigate the dynamics of the freight rate in the oil transportation markets using a general non-parametric Markov diffusion model. The empirical results suggest that the dynamics of the spot freight rate in the oil transportation market can best be described by a non-linear stochastic model. We show that the spot freight rate is mean reverting only in the extremes of the empirical range and that the volatility of the freight rate changes increases with the level of the freight rate. The former result, which implies that the spot freight rate process behaves like a Martingale over most of its empirical range, can explain why non-stationarity is difficult to reject over short samples, yet the spot freight rate process is globally mean reverting as implied by maritime economic theory. (c) 2005 Elsevier Ltd. All rights reserved.
引用
收藏
页码：211 / 224
页数：14
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