干散货运价波动的杠杆效应特征研究——基于非对称随机波动模型

doi:10.12005/orms.2020.0179

运筹与管理 ›› 2020, Vol. 29 ›› Issue (7): 110-114.DOI: 10.12005/orms.2020.0179

干散货运价波动的杠杆效应特征研究——基于非对称随机波动模型

李电生^1,2, 聂福海³

1.中国海洋大学经济学院,山东青岛 266100;
2.中国海洋大学海洋发展研究院,山东青岛266100;
3.哈尔滨工业大学深圳经济管理学院,深圳 518055

收稿日期:2019-05-01 出版日期:2020-07-25
通讯作者: 聂福海(1993-),男,山东淄博人,博士研究生,研究方向为港口规划与管理。
作者简介:李电生(1966-),男,河北石家庄人,副教授,博士,研究方向为港口规划与管理;
基金资助:
国家社会科学基金资助项目 (15BJL103);教育部人文社科基地项目 (2014JDZS03)

Leverage Effect Analysis of DryBulkIndex Based on AsymmetricStochastic Volatility Model

LIDian-sheng, NIE Fu-hai

1. College of Economics, Ocean University of China, Qingdao 266100, China;
2. Marine Development Research Institute, Ocean University of China, Qingdao 266100, China;
3. School of Economics and Management, Harbin Institute of Technology(Shenzhen), Shenzhen 518055, China

Received:2019-05-01 Online:2020-07-25

摘要/Abstract

摘要： 由信息冲击引起的干散货运价的剧烈波动给航运实体市场带来巨大风险,同等强度的利空消息通常要比利好消息引起更大的市场波动,本文对干散货航运市场运价波动存在的杠杆效应特征进行研究,为航运企业和租船人等把握市场态势、规避风险提供重要依据。考虑运价收益分布的厚尾特征,改变传统的非对称随机波动模型中随机误差项的正态分布假定,建立基于student-t分布的改进的非对称随机波动模型,在贝叶斯分析的基础上通过MCMC方法进行参数估计。通过实证研究发现,在考虑了极端风险情况后,改进的厚尾分布的非对称随机波动模型对干散货运价波动的杠杆效应特征刻画更加准确和优越。

关键词: 交通运输经济, 干散货运价, 非对称随机波动模型, 杠杆效应, 贝叶斯分析

Abstract: The violentfluctuation of dry bulk index caused by news impactbrings huge risks for shipping market entities, and bad news generallycauses greater volatility than good news of the same intensity. In this paper, the leverage effect characteristics of freight rate fluctuation in dry bulk shipping market are studied, so that we provide important basis of grasping the market dynamics for shipping companies and charterers. Considering the fattails of freight rate returns' distributions,we change the normal distribution assumption of the random error term in the Asymmetric Stochastic Volatility model. A new improvedAsymmetric Stochastic Volatility modelon the basis ofstudent-t distribution is built, in which parameters are estimatedby means of the Markov chain Monte Carloalgorithm based on Bayesian analysis. The empirical results show that, the new improvedAsymmetric Stochastic Volatility model has advantages overprevious ones when describingleverage effect characteristics of freight rate fluctuations in dry bulk shipping market.

Key words: transportation economy, dry bulk index, asymmetric stochastic volatility model, leverage effect, bayesian analysis

中图分类号:

U268.6

李电生, 聂福海. 干散货运价波动的杠杆效应特征研究——基于非对称随机波动模型[J]. 运筹与管理, 2020, 29(7): 110-114.

LIDian-sheng, NIE Fu-hai. Leverage Effect Analysis of DryBulkIndex Based on AsymmetricStochastic Volatility Model[J]. Operations Research and Management Science, 2020, 29(7): 110-114.

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干散货运价波动的杠杆效应特征研究——基于非对称随机波动模型

Leverage Effect Analysis of DryBulkIndex Based on AsymmetricStochastic Volatility Model

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