Analysis of Term Structure in Dry Bulk Freight Market

Adland, 2005, A time-varying risk premium in the term structure of bulk shipping freight rates, Journal of Transport Economics and Policy, 39, 191 Adland, 2008, Charter market default risk: A conceptual approach, Transportation Research Part E, 44, 152, 10.1016/j.tre.2006.06.002 Alizadeh, 2007, Predictive power and unbiasedness of implied forward charter rates, Journal of Forecasting, 26, 385, 10.1002/for.1029 Alizadeh, 2011, Dynamics of the term structure and volatility of shipping freight rates, Journal of Transport Economics and Policy, 45, 105 Berg-Andreassen, 1997, The relationship between period and spot rates in international maritime markets, Maritime Policy and Management, 24, 335, 10.1080/03088839700000042 Bessembinder, 2002, Equilibrium pricing and optimal hedging in electricity forward markets, Journal of Finance, 57, 1347, 10.1111/1540-6261.00463 Bierens, 2010, Time-varying cointegration, Econometric Theory, 26, 1453, 10.1017/S0266466609990648 Blanchard, 1989, The dynamic effects of aggregate demand and supply disturbances, American Economic Review, 79, 655 Chung, 2010, The structural change in the BDI function due to the global financial crisis: Using the Kalman filter, Journal of Shipping and Logistics, 65, 217 Dickey, 1979, Distribution of the estimates for autoregressive time series with a unit root, Journal of the American Statistical Association, 74, 427 Engle, R. and Watson, M.W. (1987), “The Kalman filter: Applications to forecasting and rational-expectations models,” in BEWLEY, T. (ed.), Advances in Econometrics, Fifth World Congress, Cambridge University Press, pp.245-284. Fama, 1970, Efficient capital markets: A review of theory and empirical work, Journal of Finance, 25, 383, 10.2307/2325486 Glen, 1981, Spot and time charter rates for tankers 1970-1977, Journal of Transport Economics and Policy, 15, 45 Hale, 1989, Spot and period rates in the Dry Bulk Market, Journal of Transport Economics and Policy, 23, 281 Johansen, 1995 Kavussanos, 2002, The expectations hypothesis of the term structure and risk premium in dry bulk shipping freight market, Journal of Transport Economics and Policy, 36, 267 Kavussanos, 2004, The unbiasedness hypothesis in the freight forward market: Evidence from cointegration tests, Review of Derivatives Research, 7, 241, 10.1007/s11147-004-4811-7 Kim, C. and Nelson, C. (1999), State-Space Models with Regime Switching: Classical and Gibbs-Sampling Approaches with Applications, The MIT Press. KO, B.W. (2012), A Forecasting Model of Dry Bulk Freight Market-By Using the Time-Varying Coefficient Model in the Classical Framework, Korea Maritime Institute, mimeo. Ko, 2011, Dynamics of dry bulk freight market: Through the lens of a common stochastic trend model, The Asian Journal of Shipping and Logistics, 27, 387, 10.1016/S2092-5212(11)80018-0 Ko, 2011, An application of dynamic factor model to dry bulk market- focusing on the analysis of synchronicity and idiosyncrasy in the sub-markets with different ship size-, KMI International Journal of Maritime Affairs and Fisheries, 3, 69, 10.54007/ijmaf.2011.3.1.69 Ko, 2010, A mixed-regime model for dry bulk freight market, The Asian Journal of Shipping and Logistics, 26, 185, 10.1016/S2092-5212(10)80001-X Ko, 2010, A study on the change of the dynamics of dry bulk market before and after the 2008 global financial crisis-applying the counterfactual analysis to VAR model, Ocean Policy Research, 25, 1, 10.35372/kmiopr.2010.25.2.001 Koop, 2011, Bayesian inference in a time varying cointegration model, Journal of Econometrics, 165, 210, 10.1016/j.jeconom.2011.07.007 Mackinnon, 1999, Numerical distribution function of likelihood ratio tests for cointegration, Journal of Applied Econometrics, 14, 563, 10.1002/(SICI)1099-1255(199909/10)14:5<563::AID-JAE530>3.0.CO;2-R mackinnon, 1996, Numerical distribution functions for unit root and cointegration tests, Journal of Applied Econometrics, 11, 601, 10.1002/(SICI)1099-1255(199611)11:6<601::AID-JAE417>3.0.CO;2-T Nelson, 1991, Conditional heteroscedasticity in asset returns: A new approach, Econometrica, 59, 347, 10.2307/2938260 Park, 1999, Cointegration regressions with time varying coefficients, Econometric Theory, 5, 664, 10.1017/S0266466699155026 Park, C. and Kim, C.-J. (2009), “Time-varying cointegration relationship between dividends and stock price,” Working Paper. QUANTITATIVE MICRO SOFTWARE, EViews 6 User's Guide. Rim, 2010, An empirical analysis of the dry bulk market using a recursive VAR model, Journal of Shipping and Logistics, 64, 17 Tezuka, 2012, An equilibrium price model of spot and forward shipping freight markets, Transportation Research Part E, 48, 730, 10.1016/j.tre.2011.12.007 Veenstra, 1999, The term structure of ocean freight rates, Maritime Policy and Management, 26, 279, 10.1080/030888399286899 Veenstra, A. and van Dalen, J (2011), “Freight-based freight rate indices, and their impact on freight rate modeling in the shipping industry,” in CULLINANE, K. (ed.), International Handbook of Maritime Economics, Edward Elgar Publishing Limited, pp.63-84. Veenstra, 1997, A co-integration approach to forecasting freight rates in the dry bulk shipping sector, Transportation Research Part A, 31, 447 Veenstra, 2001, Multivariate autoregressive models for forecasting seaborne trade flows, Transportation Research Part E, 37, 311, 10.1016/S1366-5545(00)00020-X Wright, 2011, Quantifying time-varying term-risk premia in shipping markets, Journal of Transport Economics and Policy, 45, 329 Wright, 2007, Term risk premia in shipping markets: reconciling the evidence, Journal of Transport Economics and Policy, 41, 247 Wright, 1993, Expectations in the shipping sector, International Journal of Transport Economics, XX, 67 Xu, 2011, A directional relationship between freight and newbuilding markets: A panel analysis, Maritime Economics and Logistics, 13, 44, 10.1057/mel.2010.20 Zannetos, 1966