| 海岬型船航运市场与造船市场风险传导 |
| 投稿时间：2015-03-18 修订日期：2015-04-20 点此下载全文 |
| 引用本文：李新伟,余思勤,陈金海.海岬型船航运市场与造船市场风险传导[J].上海海事大学学报,2015,36(3):29-34. |
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| 基金项目:教育部高等学校博士学科点专项科研基金（20113121110003） |
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| 中文摘要:为研究海岬型船航运市场与造船市场的风险传导关系，建立GC MSV和DCC MSV模型分析两个市场价格的波动溢出效应.采用2009—2014年的海岬型船程租、期租和造船价格数据进行实证分析，发现：短期期租市场向程租市场传导风险，程租市场向长期期租市场传导风险；期租市场向造船市场传导风险，反之则不明显；程租市场和造船市场比较独立.航运公司应重点关注期租市场风险；我国可通过发展期租船现货和衍生品市场逐步主导航运定价权、建设国际航运中心. |
| 中文关键词:干散货航运 GC MSV模型 DCC MSV模型 波动溢出效应 |
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| Risk conduction among shipping and shipbuilding markets of Capesize vessels |
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| Abstract:To detect the risk conduction among shipping and shipbuilding markets of Capesize vessels, the GC MSV model and the DCC MSV model are built to analyze the volatility spillover effect among the market prices. The empirical analysis is carried out using the data of trip charter price, time charter price and shipbuilding price of Capesize vessels from 2009 to 2014. The results suggest that: the risk from the short term time charter market is conducted to the trip charter market, the risk from the trip charter market to the long term time charter market; the risk from the time charter market is conducted to the shipbuilding market, while the contrary is not obvious; the trip charter market and the shipbuilding market are relatively independent. The risk of the time charter market should be concerned in priority by shipping companies. Both the spot and forward markets of time charter should be well developed to lead the pricing power of shipping gradually and construct the international shipping center. |
| keywords:dry bulk shipping GC-MSV model DCC-MSV model volatility spillover effect |
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