BDI, Gold Price and Economic Growth

被引：15

作者：

Bildirici, Melike ^{[1
]}

Kayikci, Fazil ^{[1
]}

Onat, Isil Sahin ^{[2
]}

机构：

[1] Yildiz Tech Univ, Dept Econ, Davutpasa Campus, Istanbul, Turkey

[2] ING Bank, Risk Management, Istanbul, Turkey

来源：

5TH ISTANBUL CONFERENCE OF ECONOMICS AND FINANCE | 2016年 / 38卷

关键词：

BDI; Gold prices; Economic Growth; MS-VAR; TIME-SERIES; MODEL;

D O I：

10.1016/S2212-5671(16)30200-3

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Since its establishment, the Baltic Dry Index has become one of the foremost indicators on the cost of shipping as well as an important barometer on the volume of worldwide trade and manufacturing activity. In this paper, the MSIH(3)-VAR(3) model is selected to analyse the relationship between BDI, Gold prices and economic growth for the United States. The BDI, gold prices and GDP are cointegrated for the United States. The crisis regime tends to last 1 years on average, while Regime 2 is comparatively more persistent with 6.46 years. Finally, Regime 3 which corresponds to high growth tends to last 1.16 years, on average. The crisis regime of the economy is the most persistent regime in the US. Thus, the BDI and gold prices can be used as an indicator of crisis in GDP growth for the United States. (C) 2016 The Authors. Published by Elsevier B.V.

引用

页码：280 / 286

页数：7

共 18 条

[1] Microeconomic determinants of dry bulk shipping freight rates and contract times [J].

Alizadeh, Amir H. ;

Talley, Wayne K. .

TRANSPORTATION, 2011, 38 (03) :561-579

[2]

Bakshi G., 2010, The Baltic Dry Index as a Predictor of Global Stock Returns, Commodity Returns, and Global Economic Activity, SSRN

[3]

Bildirici M., 2011, J ENERGY DEV, V35

[4]

Clements M. C., 2002, EC SERIES WORKINGPAP, V9958, P1

[5] Oil prices, inflation and interest rates in a structural cointegrated VAR model for the G-7 countries [J].

Cologni, Alessandro ;

Manera, Matteo .

ENERGY ECONOMICS, 2008, 30 (03) :856-888

[6] A fuzzy integrated logical forecasting model for dry bulk shipping index forecasting: An improved fuzzy time series approach [J].

Duru, Okan .

EXPERT SYSTEMS WITH APPLICATIONS, 2010, 37 (07) :5372-5380

[7] Shipping Markets and Freight Rates: An Analysis of the Baltic Dry Index [J].

Geman, Helyette ;

Smith, William O. .

JOURNAL OF ALTERNATIVE INVESTMENTS, 2012, 15 (01) :98-109

[8]

Hamilton J.D, 1994, TIME SERIES ANAL, P257

[9] A NEW APPROACH TO THE ECONOMIC-ANALYSIS OF NONSTATIONARY TIME-SERIES AND THE BUSINESS-CYCLE [J].

HAMILTON, JD .

ECONOMETRICA, 1989, 57 (02) :357-384

[10]

Holmes M.J., 2003, INT REV APPL ECON, V17, P181

← 1 2 →