波羅地海乾散貨運價指數與金磚四國股價之關聯性

金磚四國經濟高速成長帶動全球原物料的需求與供給，在全球乾散貨的運量需求增加後，波羅地海散裝運價指數（BDI）也逐步上漲。本文採用「不對稱門檻共整合」分析與「門檻誤差修正模型」探討BDI 指數與金磚四國股市之間的領先落後關係，樣本期間為2001年至2010年。實證結果顯示，BDI指數與金磚四國間股價指數存在不對稱的長期共整合關係。而在長期因果關係部分，我們發現巴西股價指數與印度股價指數領先BDI指數，存在單向領先落後關係；而俄羅斯股價指數及中國股價指數與BDI指數之間，則呈現雙向領先落後的關係。

The study examines the relationships between Baltic Dry Index (BDI) and BRlCs stock Indexes. Employing the Asymmetric Threshold Autoregression Model (TAR) and the Threshold Error-Correction Model (TECM), we investigate the asymmetric causal relationships between BDI and stock index in BRlCs using the daily closing data running from 2001 to 2010. The empirical results demonstrate that BDI and BRlCs stock indexes are asyrnrnetric co-integrated. In addition, the results of Granger-Causality tests based on corresponding TECM show that in Brazil and India, the unidirectional causality runs from the stock index to the BDI in the long run. However, the bidirectional causality in Russia and China was found in this study.