波羅的海運價綜合指數與鋼價指數相關性之分析－－以VAR模型之應用

An Analysis of the Relationships between Baltic Dry Index and Steel Price Index-An Application of the Vector AR Model

散裝航運市場近趨於完全競爭市場，市場運價具有高度不確定性，因此對於營運者而言存在著巨大的市場營運風險。波羅的海運價綜合指數為散裝船業者與相關產業掌握散裝海運市場運價變化之主要參考指標，船東或傭船人如能掌握未來的運價趨勢，將能有效降低航運市場風險，對其投資營運將有很大的幫助。由於散裝海運市場運價是由船噸供給與需求決定，2003年起中國經濟建設蓬勃發展，帶動國際海運需求增加。散裝船主要運送工業原物料為主，所以本研究對散裝波羅的海運價綜合指數與全球鋼價指數做關聯性分析並建構其模型。本文研究方法採用時間數列之向量自我迴歸模型為主，資料選取期間為2000年6月至2008年5月之週資料。實證結果顯示，波羅的海運價綜合指數與全球鋼價指數呈現單向影響關係，本研究結果證明波羅的海運價綜合指數以全球鋼價指數為領先的指標。當鋼品價格上漲時，將會帶動海運市場運價指數的上漲，本文結果符合海運運輸需求為經濟發展之引申需求條件，本文研究結果將可以提供散裝海運市場決策者之參考。

The bulk shipping market is a market that is close to perfect competition, and its freight rate and charter hire has a high degree of uncertainty. Thus shipowners and charterers in the market may encounter extremely high investment risks. The Baltic Dry Index (BDI) is used by the bulk shipping industry and its related industries to foretell the future freight trend. If shipowners and charterers can forecast and analyze BDI, they can effectively reduce shipping market risks and increase shipping profitability. The freight rate of dry-bulk shipping is determined by vessel supply and vessel demand. Many recent infrastructure construction projects in China have boosted demand on seaborne trade and transportation, especially for the shipping of industrial raw materials by bulk carriers. This research looks into the relationships between BDI and steel price index by constructing BDI model for the bulk shipping industry and discusses its accuracy. The relationships between the variables were found by using the Vector Autoregressive Model. The data employed in this research were weekly data from June 2000 to May 2008. The result of this study indicates that BDI and steel price index exhibit significant uni-directional influence and verifies that steel price index is the leading indicator to BDI. It shows that the rise of steel price will increase the freight rate in dry-bulk shipping sectors. This research confirms that the demand for transportation is a derived demand of the other economic activities. The results of this paper can be used by shipowners and charterers in chartering decision-making.