Measuring the dynamic term structure of the FFA market

IF 3.7 3区工程技术 Q2 TRANSPORTATION

Maritime Policy & Management Pub Date : 2023-10-31 DOI:10.1080/03088839.2023.2271936

Bin Meng, Shuiyang Chen, Mo Yang, Haibo Kuang, Yu Bao

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引用次数: 0

Abstract

ABSTRACTForward Freight Agreements (FFAs) are exchange-traded futures and the main means of risk management for shipping spot freight. The relationship between the FFA market and the shipping spot market has attracted much attention, but few studies focus on the dynamic FFA term structure and its correlation with the spot price. In this study, we establish the dynamic term structure of the FFA market by quantifying the level factor, the slope factor and the curvature factor of the FFA term structure to reveal the underlying information in the shipping derivatives market, and further scrutinize the impact of the FFA term-structure factors on the shipping spot market. The empirical results indicate that the term-structure factors have significant time-varying effects on the BDI and BPI: The effect of the term-structure factors on BDI and BPI changes with shipping market conditions and economic environment. The level factor has a positive effect, while the slope factor and the curvature factor both have negative effects, with the impacts on the BPI being about twice as large as the impacts on the BDI. The three factors all have their strongest effect in the short term and the weakest effect in the long term.KEYWORDS: Forward freight agreementshipping marketdynamic term structureNelson-Siegel model Disclosure statementNo potential conflict of interest was reported by the author(s).Additional informationFundingThis work was supported by the National Natural Science Foundation of China (Grant No. 71831002, 72174035, 72072018, 71971034), the 111 Project of China (Grant No. B20082), Postdoctoral Research Foundation of China (Grant No. 2021T140081), Humanities and Social Science Fund of Ministry of Education of China (Grant No. 19YJC790171, 21YJCZH107), Fundamental Research Funds of the Educational Department of Liaoning Province (Grant No. LJKZZ20220126), Social Science Foundation of Liaoning Province (Grant No. L22BJY024), and Fundamental Research Funds for the Central Universities of China (Grant No. 3132023286, 3132023283).

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衡量FFA市场的动态期限结构

摘要远期运费协议是在交易所交易的期货，是航运现货运费风险管理的主要手段。FFA市场与航运现货市场的关系一直备受关注，但对FFA动态期限结构及其与现货价格的相关性研究较少。本文通过量化FFA期限结构的水平因子、斜率因子和曲率因子，建立了FFA市场的动态期限结构，揭示了航运衍生品市场的潜在信息，并进一步考察了FFA期限结构因子对航运现货市场的影响。实证结果表明，期限结构因素对BDI和BPI具有显著的时变效应:期限结构因素对BDI和BPI的影响随航运市场条件和经济环境的变化而变化。坡度因子和曲率因子均为负向因子，且对BPI的影响约为对BDI的两倍。这三个因素在短期内的影响最强，在长期内的影响最弱。关键词:远期运费协议航运市场动态期限结构elson- siegel模型披露声明作者未报告潜在利益冲突。基金资助:国家自然科学基金项目(资助号:71831002,72174035,72072018,71971034);中国博士后科研基金项目(批准号:2021T140081)，教育部人文社会科学基金项目(批准号:19YJC790171, 21YJCZH107)，辽宁省教育厅基本科研业务费项目(批准号:2021T140081);LJKZZ20220126)，辽宁省社会科学基金项目(批准号:中央高校基本科研业务费专项资金(资助号:3132023286,3132023283)。

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来源期刊

Maritime Policy & Management TRANSPORTATION-

CiteScore

8.20

自引率

8.60%

发文量

期刊介绍： Thirty years ago maritime management decisions were taken on the basis of experience and hunch. Today, the experience is augmented by expert analysis and informed by research findings. Maritime Policy & Management provides the latest findings and analyses, and the opportunity for exchanging views through its Comment Section. A multi-disciplinary and international refereed journal, it brings together papers on the different topics that concern the maritime industry. Emphasis is placed on business, organizational, economic, sociolegal and management topics at port, community, shipping company and shipboard levels. The Journal also provides details of conferences and book reviews.