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ID:32242098
大小:2.42 MB
页数:62页
时间:2019-02-02
《远期运费协议(ffa)市场的价格发现功能的研究》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、TheStudyonPriCODiscoveryFunctionofFFAMarketAbstractInternationaldrybulkcargotransportationhasbeenallimportantcomponentoftheworld’Sshippingindustry.Drybulkcargotransport,suchasgrain、oreandcoal,isdirectlyrelatedtothesituationofacountry'sdevelopment,attractingthe
2、attentionfromgovernments.AstheeconomicandtradedevelopmentsofChina,thepricesofworld’sdrybulktransportincrease;therefore.Chinahasbeenamajorparticipantofdrybulkglobalshippingmarkettoday.However,becausethedrybulkshippingmarketishighlycompetitive,thechangesofglobal
3、economicsituation,nationaltradepolicies,naturalenvironmentandotherfactorsarerapidresponsetothetariif,resultinginintensivefluctuationofdrybulkfreighttransporttari伍Inordertoavoid也eriskoftarifffluctuation,theBalticExchangedevelopedtheBalticfreightindexfuturesinth
4、emid1980sinthe1astcentury.Astheworldshippingmarketdevelopmentandinternationaleconomicandtradepolicychanges,theBalticfrei曲tindexfuturesexposedmoreandmoredefectsandWaseventuallyreplacedbyForwardFreightAgreementby(FFA)in2004.Asnewfreightderivatives,FFAhassimilarp
5、ropertiestofutures.0wnersorcharterersCantradeintheoppositedirectionintheFFAmarketandthespotmarkettoguaranteeprofitsandminimizerisks.WiththeincreasinglypopularFFAtrading,moreandmorefinancialspeculatorsenterthemarket,makingriskpremiumbyspeculationandarbitrageand
6、acceptingthemarketrisk.thuspromotingtheFFAtradingliquidity.Meanwhile,becauseofinter-dependencebetweenfuturefreighttransportmarketofFFAandthespotmarketsofdrybulk,thetwopriceshaveinternalrelations,wecanpredictthepriceofspotmarketthroughthestudyofFFA.Thegrowthoft
7、heshippingcompanieslargelydependsonthediscoveryandeffectiveapplicationoftheserelations.TakingthefourChina-relateddrybulkroutesC3,C4,C5,C4TCforexample,thisthesisselects4kindsofpricesbetween2006and2010ftheeconomiccrisisinlate2008asawatershed)andusesthreeeconomet
8、ricmodel(LS,VAR.ECM—VAR)toanalyzethepricediscoveryfunctionofFFAinthreedifferenttemporalangles—Ontheonehand,thethesispredictsthecurrenttari仃sbVutilizingthefuturetaftffs.Onetheotherh
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