摘要
原油运输行业是一个价格风险极高的行业,瞬息万变的运价给航运市场参与
者带来了巨大的经营风险。对于航运企业来说,减少经营风险的最好途径就是最
大程度的稳定运营成本。因此,如何将油船期租费用锁定在一定范围内,或者说
预测油船期租价格的波动对航运企业来说有重要意义
本文研宄的主要问题就是不同期限结构的运费价格与BDT1之间的相互作用
关系。具体的研究对象是三类不同载重吨以及分别对应的三种不同期限结构的油
船运费价格。研宂方法采用定量与定性相结合的方式,在定量研宂中,针对向量
自回归VAR模型进行脉冲响应分析与方差分解分析;针对VEC模型探索变量间
是否具有长期协整关系以及短期影响程度如何。采用这样关于时间序列研宂的计
量经济学模型是一种纵向的分析,不同载重吨的油船数据之间的对比,是一种横
向分析。研宄结果表明,第一,各船型不同期限结构的运费以及BDTI均为非正
太分布,即各船型不同期限结构的运费以及BDTI的波动性较强,规律性不明显
但是,油船运费价格走势与BDTI走势基本相同。第二,就受到冲击后的反应来
看,BDTI更为强烈,运费价格的响应水平不及BDTI。第三,就不同期限结构
的运费价格和BDTI之间的相互影响来看,不同期限结构的运费价格主要是受自
身的影响,其次是受BDTI的影响。第四,一年期、三年期、五年期运费价格与
BDTI之间存在长期的均衡关系,短期也存在相互影响,但是,比较而言,长期
影响明显强于短期影响
综合上述研究结论,油船经营者或其他利益相关者可以从整体上把握油船运
输市场期租价格的动向,适当规避风险。但是,本文的研宄也存在一定的局限性,
因为实际的油船运输市场中必然存在许多可分散风险和不可分散风险,这些是本
文采用的模型所无法控制的变量
关键词:VAR模型;VEC模型;BDTI;油船期租价格
ABSTRACT
The industry of oil transportation is risky since the prices vary from minute to
minute which brings huge risks to the participants. The best way to avoid risks is to
make sure that the costs do not fluctuate obviously. Therefore, it is significantly im
portant for shipping enterprises to predict the tanker lease prices,at least the ranges.
The purpose of this paper is to study the relationship between freights and BDTI.
The objects are tanker freights that belong to different kinds of tankers and different
maturities- Both quantitative and qualitative methods are used. In the part of quantita
tive study, there are impulse response analysis and variance decomposition analysis
which are based on the VAR model. With the help ofVEC model, it explains whether
there is long-term Cointegration relationship and the short-term impacts of variables.
While the study of time series with the help of econometrics model is considered lon
gitudinal, the analysis between different kinds of tankers is horizontal. Conclusions
are as follows. Firstly, freight of different term structures and BDTI are abnormal dis
tribution, which is the sign of strong volatility. In spite of volatility, the trends of
freights and BDTI are similar. Secondly, the reaction of BDTI is more intense than
freights after the impacts. Thirdly, freights are mainly affected by themselves instead
of BDTI. Fourthly, there is a long-run equilibrium relationship between the freights of
different term structures. Compared with short-term influence, the long-term effect is
stronger.
With the help of the conclusions, the operators and other stakeholders could have
a better understanding about the freight and avoid risks. However, there is some limi
tations of this study. The model which is selected can not control al】the variables
which represent diversifiable and non-diversifiable risks.
Key Words: VAR Model; VEC Model; BDTI; Tanker Lease Price