Shipping news sentiment as a predictor of iron ore freight rates: Hybrid evidence from lexicon-based analysis and threshold autoregression modelling

IF 6.3 2区工程技术 Q1 ECONOMICS

Transport Policy Pub Date : 2025-05-06 DOI:10.1016/j.tranpol.2025.05.003

Yuting Gong , Yongyuan Peng , Luxuan Xu , Kecai Chen , Wenming Shi

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引用次数: 0

Abstract

Accurate and timely predictions of shipping freight rates provide a crucial basis for market participants to enhance their decision making. To this end, this study proposes a hybrid approach that integrates language models (LMs) and lexicon-based methods to construct an innovative shipping sentiment index (SSI) for the iron ore shipping market. By mining 9034 iron ore-related shipping news headlines and their accompanying summaries from two major shipping websites covering the period from January 2011 to December 2023, the following main results are obtained: First, the SSI closely tracks the dynamics of iron ore freight rates on major routes, effectively capturing uncertainties triggered by unforeseen events such as the COVID-19 pandemic. Second, the threshold autoregression model reveals a nonlinear relationship between the SSI and iron ore freight rates, indicating that the positive correlation is more nuanced during relatively optimistic market conditions. Moreover, iron ore prices positively influence freight rates, with this effect being stronger in optimistic market conditions than in periods of pessimistic sentiment. Additionally, economic policy uncertainty in China has a positive impact on iron ore freight rates on the selected routes, regardless of the prevailing shipping sentiment. Third, when analyzed within the nonlinear threshold framework, the SSI effectively predicts iron ore freight rates in the out-of-sample forecasting analysis. These results have important implications for iron ore importers, enhancing their ability to manage production costs, ensuring financial stability, and increasing supply chain resilience. They also provide a sound basis for shipping market participants (e.g., shipowners, brokers, investors, and shipbuilders) to make informed decisions that can improve profitability.

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航运新闻情绪作为铁矿石运价的预测因子：来自基于词典的分析和阈值自回归模型的混合证据

准确、及时的运价预测为市场参与者提高决策能力提供了重要依据。为此，本研究提出了一种将语言模型（LMs）和基于词典的方法相结合的混合方法来构建铁矿石航运市场的创新航运情绪指数（SSI）。通过对2011年1月至2023年12月期间两家主要航运网站上9034条与铁矿石相关的航运新闻标题及其随文摘要进行分析，得出以下主要结果：首先，SSI密切跟踪主要航线上铁矿石运价的动态，有效捕捉新冠疫情等不可预见事件引发的不确定性。其次，阈值自回归模型揭示了SSI与铁矿石运价之间的非线性关系，表明在相对乐观的市场条件下，正相关关系更加微妙。此外，铁矿石价格对运费产生积极影响，这种影响在乐观市场条件下比在悲观情绪时期更为强烈。此外，中国经济政策的不确定性对选定航线的铁矿石运费产生了积极影响，无论航运情绪如何。第三，在非线性阈值框架内分析时，SSI在样本外预测分析中有效地预测了铁矿石运费。这些结果对铁矿石进口商具有重要意义，有助于提高其管理生产成本的能力，确保金融稳定，增强供应链弹性。它们还为航运市场参与者（例如船东、经纪人、投资者和造船商）做出能够提高盈利能力的明智决策提供了坚实的基础。

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来源期刊

Transport Policy Multiple-

CiteScore

12.10

自引率

10.30%

发文量

282

期刊介绍： Transport Policy is an international journal aimed at bridging the gap between theory and practice in transport. Its subject areas reflect the concerns of policymakers in government, industry, voluntary organisations and the public at large, providing independent, original and rigorous analysis to understand how policy decisions have been taken, monitor their effects, and suggest how they may be improved. The journal treats the transport sector comprehensively, and in the context of other sectors including energy, housing, industry and planning. All modes are covered: land, sea and air; road and rail; public and private; motorised and non-motorised; passenger and freight.