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国际干散货运价套期保值效率实证研究——以好望角型船为例.pdf

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L毋4谨以此文献给在学业及生活上给予我无私关心帮助的老师、同学和朋友们l~吕令颖国际干散货运价套期保值效率实证研究以好望角型船为例IU q l l II I I I TI IIII I I IIIY1 927035答辩委誓茎鬟蝥篓季◆答辩委员会成员签字 K[.扎型.纥./_寺班≥亚,-,独 创 声 明本人声明所呈交的学位论文是本人在导师指导下进行的研究工作及取得的研究成果。据我所知,除了文中特别加以标注和致谢的地方外,论文中不包含其他人已经发表或撰写过的研究成果, 也不包含未获得洼翅遗直甚他盏要挂别虚明的奎拦亘窒2或其他教育机构的学位或证书使用过的材料。与我一同工作的同志对本研究所做的任何贡献均已在论文中作了明确的说明并表示谢意。学位论文作者签名 吕睹疋签字日期力,,年r月玎日学位论文版权使用授权书本学位论文作者完全了解学校有关保留、使用学位论文的规定,有权保留并向国家有关部门或机构送交论文的复印件和磁盘,允许论文被查阅和借阅。本人授权学校可以将学位论文的全部或部分内容编入有关数据库进行检索,可以采用影印、缩印或扫描等复制手段保存、汇编学位论文。同时授权中国科学技术信息研究所将本学位论文收录到中国学位论文全文数据库,并通过网络向社会公众提供信息服务。保密的学位论文在解密后适用本授权书学位论文作者签名 吕今寺正 导师签字签字日期如,,年,月巧日 签字日期疋必_rJ袈久。彬r斛●国际干散货运价套期保值效率实证研究以好望角型船为例摘要随着世界经济和国际贸易的发展,世界海运量呈现不断增长的态势。据有关数据表明,海运业承担了世界运输体系中90%的份额,对世界经济和贸易有着重要作用。占有海运市场非常大的市场份额的干散货运输,是海运市场的重要组成部分。而运费波动是航运市场风险的集中反映,干散货运价指数2003年从2000多点飙升至2008年5月最高点11000多点,而后的盒融危机使运价指数狂泻至600多点,如此大的运价波动,给中国的进出口贸易企业带来了前所未有的压力。中国的相关企业迫切需要了解和掌握运费风险管理工具,利用其进行风险的舰避和套期保值,本文就是在这一背景下进行研究的。远期运费协议是目Ij{『最活跃的运费风险管理工具,由于即期市场与远期市场的联系,对FFA市场的炒作影响会逐渐蔓延到即期市场,即期运价剧烈波动将使航运经营者们面临更多的挑战与机遇。本文的主要工作是运用计量经济学的方法,以C3,C5,C4,C4TC的航线为例,其中的C3航线是铁矿石程租船,从巴西到我国北仑或宝山港,C5航线也是铁矿石程租船从西澳大利亚到北仑或宝山港。本论文将选择C3和C5航线作为主要的研究航线,并和C4和Cape average作比较,C4是南非理查德湾到鹿特丹C4TC是BCI中所有四条期租航线C8,C9,C10,C1l的航运价格的平均价格,远期数据采用了当月F0,次月FI,第--,qF2对远期运费市场的套期保值功能进行实证研究。通过本文研究,我们发现1.远期运费价格和现货价格之间的相关系数很高;远期运费市场的套期保值功能较弱;远期运费价格和现货价格之间存在着协整关系;2.在三条航线和期租平均的四组数据中,最适用于套期保值操作的是C5航线,它的套期保值效果最好,其次是C3航线,最差的是C4TC。3.在远期数据中,对同一模型,同一航线而言,F0,F1,F2套期保值效果最好是F1,那么说明在套期保值实务中,F1的数更具有参考价值,对于企业进行风险管理更有现实意义。4.多种用于估计最优套期保值比率的方法中,基于OLS模型所获得的套期l保值策略是最优的,GARCH模型略差于OLS模型,两种模型的保值效果基本在同一水平上。而B.VAR模型和B.VCEM模型套期保值效果差不多,这就意味瑙在实务操作中并不一定要追求估计方法的先进性,这一结论对于套期保值实务具有一定的参考价值,本文研究为我【目肌运企业参与FFA市场的应用提供了理论支持和决策依据,对我国干散货航运企业的风险管理具有重要的指导意义。关键词千散货运输;远期运价协议;套期保值比率;套期保值绩效Emp i r i ca l Study on Hedg i ng Eff i c i ency of I nternat i ona IDry Bu I k Fre i ght一一Take the Capebased Sh i P for Examp I eAbstractThe volume of world sea transportation is in the station of increasing with thedevelopment of world economy and international trade.According to the relatedstatistic,sea transportation always accounts for 90%of the global volume and plays avital role in the world economy and trade.Moreover,international dry bulk 1shipping isthe main part of maritime market.However,the volatility of freight is a reflection ofshipping market risk.From2003,the BDI has soared from 2000 point to the highestpoint in May 2008 more than 1 1 700 points.After that,it dropped to more than 600points,with the influence of financial crisis.Within such a large price fluctuation,Import and export trade enterprises of China ore under unprecedented pressure.Therefore,related enterprises in China need urgently to understand and grasp thefreight risk management tools,in order to use them of avoiding risk and hedge.Thispaper iS researched in the context of such a background.The forward freight agreement is the most active ocean freight riskmanagement tool at present.As the spot market and forward market linkages.marketspeculation on the impact of FFA will gradually spread to the spot market.Volatilityin the spot freight shipping operators will have to face more challenges andopportunities.The main task of the paper is to study the hedge function of the freightforward agreement market with econometric s.As C3,C4,C5,C4TC the route Sfor example,the C3 route is charter flights of iron ore from Brazil to China-S Baoshanor Beilun port.C5 route is process iron ore from Western Australia to Beilun orBaoshan port.In this thesis,C3 and C5 will be selected as the main routes of flight,andcompared with C4 and the cape average.C4 route is from Richards Bay in SouthAfrica to Rotterdam,C4TC is the average price of the shipping price of fourC8,C9,C 1 0,C 1 1 of the BCI charter flights.Forward data is used the current monthF0,the first monthF 1,the second monthF2of the forward freight market.Through this study,we found that1.The correlation coefficient of between the forward freight rates and the spot priceis high;The cointegration relationship exists between the forward freight prices andspot prices.2.The route of C5 is the most suitable for hedging in the three routes and theaverage of the four groups of rental data,the efficiency of hedge the best,followed bythe C3 route,the worst is C4TC.3.FI is the best hedging on the same model,the same route in terms of in thetbrward data.The data of F l has more valuable and more relevant for riskmanagement in the hedging practice for enterprises.4.The optimal hedge ratio has been estimated in several ways,and the hedgingstrategy based on the OLS model is the optimal followed by the CCC·-·-GARCHmodel.The value of the two models on the basic effect of preserving is at the samelevel.The B.VAR model and B.VCEM model has the similar hedging effect.It meansthat there is no need to pursue advanced and complicated s in the practice ofhedging,which provides a valuable reference for hedging.The research of paperprovides a theoretical basis for support and decision-making for China’S shippingenterprises to participate in the application of FFA market and important guidingsignificance on companies of the risk management.Key wordsDry Bulk shipping;Forward Freight Agreements;Hedge Ratio;Hedging Perance;IV
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