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.
The term structure of ocean freight rates
Maritime Policy & Management ; 26 , 3 ; 279-293
01.07.1999
Aufsatz (Zeitschrift)
Elektronische Ressource
Unbekannt
The term structure of ocean freight rates
Online Contents | 1999
|Determination of ocean freight rates
TIBKAT | 1979
|British Library Conference Proceedings | 1996
|Effect of Liner Conferences on the Level and Structure of Ocean Freight Rates
GWLB - Gottfried Wilhelm Leibniz Bibliothek | 2013
|