An equilibrium price model of spot and forward shipping freight markets

被引：21

作者：

Tezuka, Koichiro ^{[1
]}

Ishii, Masahiro ^{[2
]}

Ishizaka, Motokazu ^{[3
]}

机构：

[1] Univ Fukui, Fac Educ & Reg Studies, Fukui 910, Japan

[2] Sophia Univ, Fac Econ, Chiyoda Ku, Tokyo 102, Japan

[3] Fukuoka Univ, Fac Commerce, Jonan Ku, Fukuoka 81401, Japan

来源：

TRANSPORTATION RESEARCH PART E-LOGISTICS AND TRANSPORTATION REVIEW | 2012年 / 48卷 / 04期

关键词：

Non-storability; Spot price process; Forward/futures curve; Speculators; Equilibrium; Unbiasedness hypothesis; ECONOMETRIC-MODEL; TERM STRUCTURE; RATES;

D O I：

10.1016/j.tre.2011.12.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We focus on non-storability, a characteristic of shipping freight that leads to an enormous gap between the widely-used no-arbitrage pricing theory and shipping freight derivative markets. Our main contribution is to modify and generalize the Bessembinder and Lemmon (2002) model. Equilibrium spot and forward price formulae are derived in a shipping freight market where shipowners, charterers, and speculators are non-homogeneous. From our formulae, we also obtain the properties of the forward risk premium and an optimal hedge ratio. In addition, we use the model to quantify the risk attitude of market participants. (C) 2012 Elsevier Ltd. All rights reserved.

引用

页码：730 / 742

页数：13

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