远期运费协议(ffa)市场的价格发现功能的研究

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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