摘要
远期运费协议(FFA)是对冲航运市场风险的重要衍生品。本文以干散货航运市场4种FFA为样本,对航运市场的便利收益进行实证研究。首先,本文构建了包含随机运费和随机便利收益的航运市场的双因子随机模型。实证结果表明,航运市场存在便利收益,且与现货运费存在较强的相关性。其次,本文研究了4种FFA的期限结构。实证结果表明,便利收益的随机变化是形成FFA期限结构的一个主要参数。最后,本文研究了便利收益对现货运费的预测作用。实证结果显示,反映市场新息的便利收益的一阶差分对现货运费有显著的预测作用。航运市场便利收益对研究航运市场价格形成、FFA期限结构特征以及大宗商品与航运跨市场影响都具有重要意义。
The Forward Freight Agreement(FFA)is an important derivative for hedging risks in the shipping market.This paper con⁃ducts an empirical research on the convenience yield in the shipping market,utilizing four types of FFAs within the dry bulk shipping market as case studies.Firstly,this paper constructs a two⁃factor stochastic model of the shipping market,including random freight rates and random convenience yields.Empirical results show that there are convenience yields in the shipping market,and they are strongly correlated with spot freight rates.Secondly,this paper examines the term structure of the four types of FFAs.Empirical results indicate that the stochastic variation in convenience yields is a major parameter in forming the term structure of FFAs.Finally,this paper investi⁃gates the predictive role of convenience yields on spot freight rates.The empirical findings indicate that the first⁃order difference in con⁃venience yields,reflecting market expectations,serves as a significant predictor of spot freight rates.The convenience yield in the ship⁃ping market is of great significance for studying price formation,FFA term structure characteristics,and cross⁃market effects between bulk commodities and shipping.
作者
隋聪
任昭诺
张庆庆
王文洋
匡海波
Sui Cong;Ren Zhaonuo;Zhang Qingqing;Wang Wenyang;Kuang Haibo(School of Maritime Economics and Management,Dalian Maritime University,Dalian 116026;Collaborative Innovation Center for Transport Studies,Dalian Maritime University,Dalian 116026)
出处
《管理评论》
北大核心
2025年第7期44-55,共12页
Management Review
基金
国家自然科学基金面上项目(72371045)。
关键词
远期运费协议
期限结构
便利收益
航运市场
市场预测
forward freight agreement
term structure
convenience yield
shipping market
market forecast
