Examining The Moving Properties Of Shipping Freight Rate In The Dry Bulk Market

The freight rate has been viewed as a popular leading indicator in the dry bulk shipping market.Its fluctuation is therefore concerned by shipowners,shipping companies,charterers and other players in the dry bulk market.Meanwhile,researchers have also conducted a series of examinations on its moving properties.A dominant finding is that the shipping freight rate moves around a constant level and thus follows a stationary movement.Reviewing the past studies,almost 90% empirical results had drawn this conclusion.However,this empirical result is inconsistent with the theoretical long-run formulation mechanism of freight rate.To examine the reasons caused this inconsistency,this dissertation examines the moving properties of shipping freight rates in the dry bulk market from the following three perspectives:Firstly,this thesis qualitatively examines the theoretical moving properties of the shipping freight rate,from the perspectives of long-run and short-run demand-supply relationship.Secondly,empirical studies are conducted to examine whether the theoretical properties can be demonstrated.Specifically,for the long-term fluctuation characteristic,a rolling stationary test is carried out to analyze the sensitivity of freight rate's stationarity to sample length.Result shows that the stationarity of freight rates is sensitive to the duration of the sample.For the short-term fluctuation characteristic,a methodology is first designed to separate the shipping cycles based on the stationarity of the shipping freight rate.Result shows that shipping cycle is an important factor affected the freight rate's stationarity.Finally,whether freight rate plays a leading role in the dry bulk market is re-examined.Using dynamic Granger causality test,it is found that past conclusion that freight rate leads to newbuilding ship price is not always true.