무역학회지 (Korea Trade Review)

한국무역학회 (Korea Trade Research Association)
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발틱운임지수(BDI)와 해상 물동량의 인과성 검정

Analysis of causality of Baltic Drybulk index (BDI) and maritime trade volume

  • 배성훈 (중앙대학교 무역물류학과) ;
  • 박근식 (중앙대학교 국제물류학과)
  • Bae, Sung-Hoon (Department of International Logistics, Chungang University) ;
  • Park, Keun-Sik (Department of International Logistics, Chungang University)
  • 투고 : 2019.03.07
  • 심사 : 2019.04.21
  • 발행 : 2019.04.30
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초록

In this study, the relationship between Baltic Dry Index(BDI) and maritime trade volume in the dry cargo market was verified using the vector autoregressive (VAR) model. Data was analyzed from 1992 to 2018 for iron ore, steam coal, coking coal, grain, and minor bulks of maritime trade volume and BDI. Granger causality analysis showed that the BDI affects the trade volume of coking coal and minor bulks but the trade volume of iron ore, steam coal and grain do not correlate with the BDI freight index. Impulse response analysis showed that the shock of BDI had the greatest impact on coking coal at the two years lag and the impact was negligible at the ten years lag. In addition, the shock of BDI on minor cargoes was strongest at the three years lag, and were negligible at the ten years lag. This study examined the relationship between maritime trade volume and BDI in the dry bulk shipping market in which uncertainty is high. As a result of this study, there is an economic aspect of sustainability that has helped the risk management of shipping companies. In addition, it is significant from an academic point of view that the long-term relationship between the two time series was analyzed through the causality test between variables. However, it is necessary to develop a forecasting model that will help decision makers in maritime markets using more sophisticated methods such as the Bayesian VAR model.

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