• Journal of Korea Port Economic Association
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• v.39 no.2
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• pp.129-141
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• 2023

This study analyzes the dynamic characteristics of daily freight rates of dry bulk and tanker shipping markets and their forecasting accuracy by using the error correction models. In order to calculate the error terms from the co-integrated time series, this study uses the common stochastic trend model (CSTM model) and vector error correction model (VECM model). First, the error correction model using the error term from the CSTM model yields more appropriate results of adjustment speed coefficient than one using the error term from the VECM model. Furthermore, according to the adjusted determination coefficients (adjR²), the error correction model of CSTM-model error term shows more model fitness than that of VECM-model error term. Second, according to the criteria of mean absolute error (MAE) and mean absolute scaled error (MASE) which measure the forecasting accuracy, the results show that the error correction model with CSTM-model error term produces more accurate forecasts than that of VECM-model error term in the 12 cases among the total 15 cases. This study proposes the analysis and forecast tasks 1) using both of the CSTM-model and VECM-model error terms at the same time and 2) incorporating additional data of commodity and energy markets, and 3) differentiating the adjustment speed coefficients based the sign of the error term as the future research topics.

• Korea Trade Review
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• v.48 no.3
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• pp.69-88
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• 2023

This study analyzes the dynamic characteristics of cargo volume (demand), ship fleet (supply), and freight rate (price) of container, dry bulk, and tanker shipping markets by using the VAR and VECM models. This analysis is expected to enhance the statistical understanding of market dynamics, which is perceived by the actual experiences of market participants. The common statistical patterns, which are all shown in the three shipping markets, are as follows: 1) The Granger-causality test reveals that the past increase of fleet variable induces the present decrease of freight rate variable. 2) The impulse-response analysis shows that cargo shock increases the freight rate but fleet shock decreases the freight rate. 3) Among the three cargo, fleet, and freight rate shocks, the freight rate shock is overwhelmingly largest. 4) The comparison of adjR² reveals that the fleet variable is most explained by the endogenous variables, i.e., cargo, fleet, and freight rate in each of shipping markets. 5) The estimation of co-integrating vectors shows that the increase of cargo increases the freight rate but the increase of fleet decreases the freight rate. 6) The estimation of adjustment speed demonstrates that the past-period positive deviation from the long-run equilibrium freight rate induces the decrease of present freight rate.