This paper contains an empirical investigation of the relation between spot and period freight rates for the ocean dry bulk shipping market. This relation is commonly referred to as a term structure. This paper hypothesizes a present value model, expressing the period rate as expectations of future spot rates, to represent this relation. The present value model is estimated using a vector autoregressive modelling approach. Although formal tests on the vector autoregressive models reject a restriction imposed by the present value relation, alternative, informal, tests proposed in financial markets research show that there is, in fact, considerable evidence that the present value model provides a valid description of the relation between spot and period freight rates. The results in this paper, therefore, support the existence of a term structure in ocean freight rates.


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    Titel :

    The term structure of ocean freight rates


    Beteiligte:

    Erschienen in:

    Erscheinungsdatum :

    01.07.1999




    Medientyp :

    Aufsatz (Zeitschrift)


    Format :

    Elektronische Ressource


    Sprache :

    Unbekannt



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