The Effect of Fleet Size, Seaborne Volume on BDI Volatility in Dry Bulk Shipping Market

被引：2
|
作者：
Chen, Lifen [1 ,2 ]
Xie, Xinlian [1 ]
Wang, Wen [2 ]
机构：
[1] Dalian Maritime Univ, Coll Transportat Engn, Dalian 116026, Peoples R China
[2] Jimei Univ, Nav Coll, Xiamen 361021, Peoples R China
来源：
JOURNAL OF COASTAL RESEARCH | 2020年
关键词：
Baltic Dry Index; volatility; variational mode decomposition; multiple linear regression; fleet size; seaborne volume; PRICE VOLATILITY; SPOT; TRANSMISSION;
D O I：
10.2112/JCR-SI104-173.1
中图分类号：
X [环境科学、安全科学];
学科分类号：
08 ; 0830 ;
摘要：
In this article, a method based on variational mode decomposition (VMD) and multiple linear regression ( MLR) is developed for Baltic Dry Index (BDI) volatility. The original BDI series is decomposed into several independent intrinsic mode functions (IMF S) through VMD first. The long-term trend is obtained to represent the basic freight rate. MLR model is used to analyze the influencing factors of BDI volatility. It is found that seaborne volume is the main cause of the volatility of BDI when the shipping market is in equilibrium. If the market is in a recession, the volatility of BDI is mainly determined by fleet size. Oil price, GDP and CIP have a very small impact on the volatility of BDI. The results contribute to understand the systematic risk of shipping market.
引用
收藏
页码：993 / 997
页数：5
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