海岬型船租金費率與船價波動關係之時間序列研究

AN EMPIRICAL STUDY ON THE RELATIONSHIP BETWEEN HIRE RATE AND SHIP PRICE VOLATILITY OF CAPESIZE BULK CARRIERS

自2003 年起中國經濟建設發展，帶動海運需求的增加，尤其是載運鐵礦的海岬型散裝船無論在租金或是船價方面，皆呈現暴漲的趨勢。為探究近年來海運經濟是否存在變異特性，本文選擇以國際散裝乾貨船市場海岬型船標準船型即期與遠期租金對船價之影響作為實證研究標的，以實證方法探討租金與船價之領先或落後關係，以及衝擊反應關係。利用向量自我迴歸 （VAR）、衝擊反應分析 （impulse response analysis） 、變異數分解法 （variancedecomposition） 等分析方法，進行檢定海岬型船租金費率對於船價是否存有顯著的影響效應，以及了解新船與二手船價的變動間之相互影響關係。經研究結果發現，海岬型船租金對於新造船價沒有顯著影響力，且五年二手船價在短期受租金影響衝擊較大，長期還是受到新船船價單向影響，並發現海岬型船新船船價的變異值幾乎只能由本身過去的變異來解釋，惟五年二手船船價受過去租金的衝擊影響，在短期內較能解釋其變異情形，但是影響力極快消失，長期的變異情形有部分還是受到新船船價的衝擊所影響，且時間越長所產生的衝擊越大。

Strong infrastructure construction development in China has resulted in anincreasing demand for sea transportation, especially the market for Capesizebulk carriers that transport iron ore has boosted recently. To examine theinteractive relationships between the hire rate and ship price of Capesize bulkcarriers as well as the price variances of newbuild ships and second-hand ships,we adopted the Vector Auto Regression, impulse response analysis and variancedecomposition approaches. The findings of this study show that there is nosignificant relationship between the newbuild ship price and the hire rate ofCapesize bulk carriers. The 5-year second-hand ship price impulse responds tothe hire rate in short term and to newbuild ship price in long term. Moreover,the price variance of newbuild ships can only be well explained by their ownpast variance, and the 5-year second-hand ship price can be well explained bythe past variance of the hire rate in short term, however, the strength of effectdisappears very soon, and its long-term variance is also partially impacted bynewbuild ship price.