Asymmetric causality from commodity prices to shipping markets: an empirical research on ISTFIX region

Q3 Social Sciences

World Review of Intermodal Transportation Research Pub Date : 2020-03-30 DOI:10.1504/writr.2020.10027963

Abdullah Açık, Sadık Özlen Başer

引用次数: 7

Abstract

Dry bulk shipping is influenced mainly by demand for commodities due to its derived demand structure. As one of the main determinants of the commodity demand is the price, interactions between commodity prices and freight rates are inevitable. However, the relevant literature is limited and information asymmetry is not taken into account. The aim of this study is to examine the asymmetric causality from the prices of the commodities mostly transported in Istanbul Freight Index (ISTFIX) region to the freight rates by method developed by Hatemi-J (2012a). The dataset consists of 122 monthly observations covering the dates between January 2008 and February 2018. The results reveal that positive and negative shocks in coal and steel prices are symmetrically causes of the positive and negative shocks in ISTFIX while negative shocks in wheat prices are cause of positive shocks in the index, and positive shocks in the commodity are the causes of negative shocks in the index.

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商品价格对航运市场的不对称因果关系:基于ISTFIX地区的实证研究

干散货航运由于其衍生的需求结构，主要受商品需求的影响。由于商品需求的主要决定因素之一是价格，商品价格与运费之间的相互作用是不可避免的。然而，相关文献有限，且未考虑信息不对称。本研究的目的是通过Hatemi-J (2012a)开发的方法，检验主要在伊斯坦布尔运费指数(ISTFIX)区域运输的商品价格与运费之间的不对称因果关系。该数据集由122个月观测数据组成，涵盖2008年1月至2018年2月。结果表明，煤炭和钢铁价格的正冲击和负冲击是ISTFIX正冲击和负冲击的对称原因，小麦价格的负冲击是该指数正冲击的原因，商品价格的正冲击是该指数负冲击的原因。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

World Review of Intermodal Transportation Research Social Sciences-Geography, Planning and Development

CiteScore

1.70

自引率

0.00%

发文量

期刊介绍： There is an increasing demand for transportation solutions that are responsive, safe, sustainable, smart and cost-efficient. This has resulted in increased emphasis on responsive intermodal transportation systems. WRITR provides an international forum for the critical evaluation and dissemination of research and development in all areas related to intermodal transportation. Research disseminated via WRITR has significant impact on both theory and practice, and is of value to academics, practitioners and policy makers in this field. Topics covered include: -International trade and transportation -Infrastructure, network design and optimisation -Design, planning and control of transportation systems -Intermodal, intelligent and sustainable transportation solutions -Transportation modes (air, rail, road, sea, pipe) -Transportation cost/benefit analysis -Railroad, terminal and port development -Port/terminal operations and management -Warehousing and inventory management -Transportation regulations, standards and security -Environmental impact, liability and insurance -Risk analysis and management -Information technology and decision support systems -Strategic alliances and relationship management -Government involvement and incentives