PREDICTING BALTIC DRY INDEX WITH LEADING INDICATORS

Year 2018, Volume: 10 Issue: 2, 233 - 248, 26.12.2018

Duygu Şahan Reha Memişoğlu Sadık Özlen Başer

https://doi.org/10.18613/deudfd.495820

Cited By: 5

Abstract

The Baltic Dry Index (BDI) is issued by the Baltic Exchange on a daily
basis and it signals for the average cost of shipping raw materials on a number
of shipping routes. Baltic Dry Index is considered by both the private and
public authorities as an important indicator for freight rates, international
trade and economic activity. Conducting a long-term prediction for dry bulk
indices is challenging due to the high volatility of the dry bulk freight
market; therefore, a linear prediction spanning a shorter time period offers
both greater accuracy and can be used as a tool for speculation. The goal of
this paper is to form a linear benchmark model through Box-Jenkins approach
including explanatory variables selected rigorously to forecast Baltic Dry
Index. Using monthly data between January 2010 and June 2017, the analysis
results point out an ARIMAX (10,1,0) model with spot prices of gold and silver,
United States 10-year bond yield and commodity price index composed of
minerals, ores and metals. 

Keywords

Baltic Dry Index, ARIMAX model, forecast, freight market, time series

BALTIK KURU YÜK ENDEKSİ’NİN ÖNCÜ GÖSTERGELER İLE TAHMİNİ

Abstract

Baltik Kuru Yük Endeksi, Baltik Borsası tarafından
günlük olarak yayımlanmakta ve farklı rotalar için ham madde taşıma maliyetini
göstermektedir. Baltık Kuru Yük Endeksi hem kamu hem de özel
sektör yetkilileri tarafından navlun oranları, uluslararası ticaret ve ekonomik
faaliyetler için önemli bir gösterge olarak kabul edilmektedir. Kuru dökme yük
navlun piyasasının çok dalgalı bir yapıya sahip olmasından ötürü kuru yük
endeksleri üzerinde uzun vadeli tahminleme yapmanın oldukça zorlayıcı oluşu,
daha kısa vadeli ve doğrusal tahminleme yapılması ile hem daha isabetli
sonuçlar elde edilmesine hem de sonuçların spekülatif bir araç olarak
kullanılabilmesine olanak vermektedir. Bu çalışmanın amacı Baltık Kuru Yük
Endeksi’ni tahminlemek üzere seçilen açıklayıcı değişkenler içeren Box-Jenkins
yaklaşımı ile bir kıyaslama modeli oluşturmaktır. Ocak 2010-Haziran 2017
verilerinin aylık bazda kullanılması ile elde edilen analiz sonuçları altın ve
gümüş spot fiyatları, Amerika Birleşik Devletler 10 yıllık tahvil getirisi ile mineraller,
cevherler ve metallerden oluşan emtia fiyat endeksini içeren bir ARIMAX (10,1,0)
modelini işaret etmektedir.

Keywords

Baltık Kuru Yük Endeksi, ARIMAX modeli, tahminleme, navlun piyasası, zaman serisi

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