Risk and Volatility Spillover Between Commodity and Freight Market An Application on Capesize Freight Market

Öz

Uncertainty in freight rates poses great risks for ship and cargo owners. Identifying the factors that affect the volatility of freight is of great importance in reducing risks arising from uncertainty. The aim of this study is to investigate the volatility spillover and risk transmission between commodity prices and freight rates in Capesize market through the causality in variance test. In the study, 3 different transportation routes are included for Capesize freights, while the prices of the 3 main cargo carried in the dry bulk market are considered as commodity prices. Dataset consists of 234 monthly observations and covers the dates between January 2000 and June 2019. According to the results obtained, while unidirectional significant causalities are determined from both iron ore and coal prices to all freight routes, bidirectional significant causalities are determined between wheat prices and freights.

Anahtar Kelimeler

• Commodity price
• volatility spillover
• causality in variance

Öz

Gemi ve yük sahipleri için navlunlarda yaşanan belirsizlik büyük riskler oluşturmaktadır. Navlunların oynaklığını etkileyen faktörlerin tespit edilmesi, belirsizlikten kaynaklı risklerin azaltılmasında büyük önem arz etmektedir. Bu çalışmanın amacı, emtia fiyatları ile Capesize piyasasındaki navlun fiyatları arasındaki oynaklık yayılımını ve risk transferini varyansta nedensellik testi aracılığıyla incelemektir. Çalışmada Capesize navlunları için 3 farklı taşımacılık rotası içerilirken, emtia fiyatları olarak ise kuru dökme yük piyasasında taşınan 3 ana yükün fiyatları ele alınmaktadır. Veri seti 234 aylık gözlemlerden oluşmaktadır ve Ocak 2000 ile Haziran 2019 dönemi arasını kapsamaktadır. Elde edilen sonuçlara göre hem demir cevheri hem de kömür fiyatlarından tüm navlunlara anlamlı nedensellikler tespit edilmişken, buğday fiyatı ve navlunlar arasında ise karşılıklı anlamlı nedensellikler tespit edilmiştir.

Anahtar Kelimeler

• Emtia fiyatı
• oynaklık yayılımı
• varyansta nedensellik.

Kaynakça

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