國際散裝海運市場循環與趨勢特性分析

AN EMPIRICAL ANALYSIS OF THE CYCLE AND TREND OF THE INTERNATIONAL BULK CARRIER MARKET

本文以X11季節分析法、Hedrick-Prescott filter濾波法、因果檢定，分析散裝海運4 個子市場（1.運費；2.新船；3.二手船；4.拆解船）之季節性變動、循環、長期趨勢與關聯性。研究結果發現：(1)經X11季節分析法，運費市場季節波動幅度最大，新船市場波動幅度最小；(2)經Hedrick-Prescottfilter 濾波法分析，海運4 個子市場之景氣循環，循環週期有逐漸縮短與波動劇烈之特性；(3)因果關係檢定獲知，運費市場是其它3市場之領先指標。本研究驗證發現，在2007 年底散裝海運運費市場出現高峰轉折向下之跡象，建議船東可將營運船舶採取長期論時傭船方式出租船舶或降低船隊數量，以規避景氣反轉風險。

In this paper we adapt the X11 seasonal analysis, Hedrick-Prescott filterand Granger causality to examine the seasonality, cycle and trend of theinternational dry bulk market, based on freight rate, new ship, secondhand ship,and demolition prices. After our examination and analysis we found that thefreight shipping market had the most volatility, when compared to others.However, the new shipping market had the lightest volatility by X11 seasonalanalysis. The period of cycle began to shortened and fluctuating volatilityaccording to the Hedrick-Prescott filter analysis of the bulk shipping market.Moreover, we found that the freight rate market is the leading indicator of thefour sub-markets, by a Granger test. In this paper we suggest the ship-owner tocreate a strategy for long term time-charters or decrease the fleet number byfollowing the shipping freight market cycle downward at the end of 2007.