Crude oil prices, container freight rates and dry bulk freight rates: are there short-term and long-term effects on seaborne exports from Taiwan?

被引：0

作者：

Chu, Hsing-Chung ^{[1
]}

机构：

[1] Natl Chiayi Univ, 580 Sinmin Rd, Chiayi, Taiwan

来源：

INTERNATIONAL JOURNAL OF SHIPPING AND TRANSPORT LOGISTICS | 2023年 / 17卷 / 04期

关键词：

ocean freight; export; crude oil prices; freight rates; container; dry bulk; Taiwan; VOLATILITY TRANSMISSION; MODELS; MARKET;

D O I：

10.1504/IJSTL.2023.136046

中图分类号：

C93 [管理学];

学科分类号：

12 ; 1201 ; 1202 ; 120202 ;

摘要：

This paper used the GARCH model and the VAR model to examine the volatility effect and lagged effect of three explanatory variables (crude oil prices and two indicators of freight rates, namely, the China Containerised Freight Index and the Baltic Dry Index) on seaborne exports from Taiwan. Monthly time series data were collected from January 2007 to March 2021. The results indicated no long-term relationship between seaborne exports and the three variables or their volatility. However, in the short term, oil price volatility in the previous month had a negative effect on the current seaborne exports; nevertheless, oil prices for two consecutive periods 1 month ahead and 2 months ahead had a positive effect on seaborne exports. The evidence also indicated that seaborne exports showed a stronger causal effect on the CCFI than did the CCFI on exports. Another important finding was the positive effect of the BDI on seaborne exports being 1 month ahead of the CCFI.

引用

页码：451 / 468

页数：19

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