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Impact of Commodity Price on Freight Market Considering the 2008 Crisis: An Investigation of Iron Ore Price and Capesize Shipping Rates

Yıl 2021, , 62 - 71, 29.06.2021
https://doi.org/10.52602/mtl.904918

Öz

This study investigated the asymmetric causality from iron ore price to freight market through Capesize rates by considering the possible impact of the 2008 global economic crisis. The study used a monthly data set of 233 observations covering the period between January 2000 and June 2019. According to the structural break tests, a break was detected in June 2008 and the analyses were performed for two separate periods as pre-crisis and post-crisis in addition to the whole period. The results for the whole period revealed that positive shocks in iron ore price caused negative shocks and negative shocks caused both negative and positive shocks. The divided sample results revealed that positive shocks in the iron ore prices were causes of the positive shocks in the freight rates in the pre-crisis period, while negative shocks in the ore prices were causes of the negative shocks in freight rates, and negative shocks were the causes positive shocks in the post-crisis period. These results suggested that the impact of commodity prices on the freight market before and after the crisis might vary.

Kaynakça

  • Açık, A., and Başer, S.Ö. (2021). Agent based interaction of commodity price and freight market. Bmij, 9(1), 56-75. doi:10.15295/bmij.v9i1.1684
  • Açık, A., and İnce, M.R. (2019). Do commodity price shocks matter for dry bulk freight markets?. In Kaya, Ö. (Ed.), Studies on Social Sciences (pp. 77-101). Ankara: İKSAD Publishing House.
  • Angelopoulos, J., Sahoo, S., and Visvikis, I. D. (2020). Commodity and transportation economic market interactions revisited: new evidence from a dynamic factor model. Transportation Research Part E: Logistics and Transportation Review, 133, 1-15. doi:10.1016/j.tre.2019.101836
  • Başer, S. Ö., and Açık, A. (2018). The response of shipbuilding activities to freight rates. Uluslararası İktisadi ve İdari Bilimler Dergisi, 4(1), 120-136. doi:10.29131/uiibd.415303
  • Bildirici, M. E., and Turkmen, C. (2015). Non-linear causality between oil and precious metals. Resources Policy, 46(2), 202-211. doi:10.1016/j.resourpol.2015.09.002
  • Bloomberg (2019). Capesize route freight rates. Retrieved June 20, 2019 from https://www.blo¬om¬be¬r-g.com/professional/
  • Brock, W., Dechect, W., and Scheinkman, J. (1987). A test for ındependence based on the correlation dimension. Working Paper, Department of Economics, University of Wisconsin, Madison.
  • Chen, S., Meersman, H., Van De Voorde, E., and Frouws, K. (2014). Modelling and forecasting in dry bulk shipping. London: Informa Law from Routledge.
  • Chou, M. T., Su, Y. L., Chou, T. Y., and Liang, H. U. (2015). An analysis of the relationship between Asian Steel Index and The Baltic Capsize Index. Modern Economy, 6(2), 207-216. doi:10.4236/me.2015.62018
  • Dai, L., Hu, H., Chen, F., and Zheng, J. (2015). The dynamics between newbuilding ship price volatility and freight volatility in dry bulk shipping market. International Journal of Shipping and Transport Logistics, 7(4), 393-406. doi:10.1504/IJSTL.2015.069666
  • Dickey, D. A., and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431. doi:10.2307/2286348
  • Engle, R. (1982). ARCH with estimates of variance of united kingdom ınflation. Econometrica, 50(4), 987-1007. doi:10.2307/1912773
  • Hatemi-J, A. (2012a). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447-456. doi:10.1007/s00181-011-0484-x
  • Hatemi-J, A. (2012b). Is the UAE stock market integrated with the USA stock market? new evidence from asymmetric causality testing. Research in International Business and Finance, 26(2), 273-280. doi:10.1016/j.ribaf.2012.01.002
  • Hatemi-J, A. and Uddin, G. S. (2012). Is the causal nexus of energy utilization and economic growth asymmetric in the US?’. Economic Systems, 36(3), 461-469. doi: /10.1016/j.ecosys.2011.10.005
  • Jing, L., Marlow, P. B., and Hui, W. (2008). An Analysis of freight rate volatility in dry bulk shipping markets. Maritime Policy & Management, 35(3), 237-251. doi: 10.1080/03088830802079987
  • Kavussanos, M., Visvikis, I., and Dimitrakopoulos, D. (2010). Information linkages between panamax freight derivatives and commodity derivatives markets. Maritime Economics and Logistics, 12(1), 91-110. doi: 10.1057/mel.2009.20
  • Kavussanos, M.G., Visvikis, I.D., and Dimitrakopoulos, D.N. (2014). Economic spillovers between related derivatives markets: The case of commodity and freight markets. Transportation Research Part E, 68, 79–102. doi: 10.1016/j.tre.2014.05.003
  • Koopmans, T. C. (1939). Tanker Freight rates and tankship building. Holland: Haarlem.
  • Lee, J., and Strazicich, M. C. (2013). Minimum LM unit root test with one structural break. Economics Bulletin, 33(4), 2483-2492.
  • Lun, Y. V., and Quaddus, M. A. (2009). An empirical model of the bulk shipping market. International Journal of Shipping and Transport Logistics, 1(1), 37-54. doi: 10.1504/IJSTL.2009.021975
  • Ma, S. (2020). Economics of maritime business. London: Routledge.
  • Phillips, P.C.B., and Perron, P. (1988). Testing for unit root in time series regression. Biometrica, 75, 335-346. doi: 10.2307/2336182
  • Radetzki, M. (2008). A handbook of primary commodities in the global economy. New York: Cambridge University Press.
  • Shahbaz, M., Van Hoang, T. H., Mahalik, M. K., and Roubaud, D. (2017). Energy consumption, financial development and economic growth in India: New evidence from a nonlinear and asymmetric analysis. Energy Economics, 63, 199-212. doi: 10.1016/j.eneco.2017.01.023
  • Toda, H.Y., and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66, 225–250. doi: 10.1016/0304-4076(94)01616-8
  • Tsioumas, V., and Papadimitriou, S. (2018). The dynamic relationship between freight markets and commodity prices revealed. Maritime Economics and Logistics, 20(2), 267-279. doi: 10.1057/s41278-016-0005-0
  • Tugcu, C. T., and Topcu, M. (2018). Total, Renewable and non-renewable energy consumption and economic growth: Revisiting the issue with an asymmetric point of view. Energy, 152, 64-74. doi:10.1016/j.energy.2018.03.128
  • Tugcu, C. T., Ozturk, I., and Aslan, A. (2012). Renewable and non-renewable energy consumption and economic growth relationship revisited: Evidence from G7 countries. Energy Economics, 34(6), 1942-1950. doi: 10.1016/j.eneco.2012.08.021
  • Tvedt, J. (2003). A new perspective on price dynamics of the dry bulk market. Maritime Policy and Management, 30(3), 221-230. doi: 10.1080/0308883032000133413
  • Umar, M., and Dahalan, J. (2016). An application of asymmetric toda-yamamoto causality on exchange rate-inflation differentials in emerging economies. International Journal of Economics and Financial Issues, 6(2), 420-426.
  • Worldbank (2019) Iron ore prices. Retrieved June 20, 2019 from https://www.worldbank.org/en/rese-arch/commodity-markets.
  • Yu, T.H.E., Bessler, D.A., and Fuller, S.W. (2007). Price dynamics in US grain and freight markets. Canadian Journal of Agricultural Economics, 55(3), 381–397. doi: 10.1111/j.1744-7976.2007.00098.x
  • Zivot, E., and Andrews, D.W.K. (1992). Further evidence of the great crush, the oil price shock and the unit-root hypothesis. Journal of Business and Economic Statistics, 10, 251–70. doi: 10.2307/1391541

Impact of Commodity Price on Freight Market Considering the 2008 Crisis: An Investigation of Iron Ore Price and Capesize Shipping Rates

Yıl 2021, , 62 - 71, 29.06.2021
https://doi.org/10.52602/mtl.904918

Öz

This study investigated the asymmetric causality from iron ore price to freight market through Capesize rates by considering the possible impact of the 2008 global economic crisis. The study used a monthly data set of 233 observations covering the period between January 2000 and June 2019. According to the structural break tests, a break was detected in June 2008 and the analyses were performed for two separate periods as pre-crisis and post-crisis in addition to the whole period. The results for the whole period revealed that positive shocks in iron ore price caused negative shocks and negative shocks caused both negative and positive shocks. The divided sample results revealed that positive shocks in the iron ore prices were causes of the positive shocks in the freight rates in the pre-crisis period, while negative shocks in the ore prices were causes of the negative shocks in freight rates, and negative shocks were the causes positive shocks in the post-crisis period. These results suggested that the impact of commodity prices on the freight market before and after the crisis might vary.

Kaynakça

  • Açık, A., and Başer, S.Ö. (2021). Agent based interaction of commodity price and freight market. Bmij, 9(1), 56-75. doi:10.15295/bmij.v9i1.1684
  • Açık, A., and İnce, M.R. (2019). Do commodity price shocks matter for dry bulk freight markets?. In Kaya, Ö. (Ed.), Studies on Social Sciences (pp. 77-101). Ankara: İKSAD Publishing House.
  • Angelopoulos, J., Sahoo, S., and Visvikis, I. D. (2020). Commodity and transportation economic market interactions revisited: new evidence from a dynamic factor model. Transportation Research Part E: Logistics and Transportation Review, 133, 1-15. doi:10.1016/j.tre.2019.101836
  • Başer, S. Ö., and Açık, A. (2018). The response of shipbuilding activities to freight rates. Uluslararası İktisadi ve İdari Bilimler Dergisi, 4(1), 120-136. doi:10.29131/uiibd.415303
  • Bildirici, M. E., and Turkmen, C. (2015). Non-linear causality between oil and precious metals. Resources Policy, 46(2), 202-211. doi:10.1016/j.resourpol.2015.09.002
  • Bloomberg (2019). Capesize route freight rates. Retrieved June 20, 2019 from https://www.blo¬om¬be¬r-g.com/professional/
  • Brock, W., Dechect, W., and Scheinkman, J. (1987). A test for ındependence based on the correlation dimension. Working Paper, Department of Economics, University of Wisconsin, Madison.
  • Chen, S., Meersman, H., Van De Voorde, E., and Frouws, K. (2014). Modelling and forecasting in dry bulk shipping. London: Informa Law from Routledge.
  • Chou, M. T., Su, Y. L., Chou, T. Y., and Liang, H. U. (2015). An analysis of the relationship between Asian Steel Index and The Baltic Capsize Index. Modern Economy, 6(2), 207-216. doi:10.4236/me.2015.62018
  • Dai, L., Hu, H., Chen, F., and Zheng, J. (2015). The dynamics between newbuilding ship price volatility and freight volatility in dry bulk shipping market. International Journal of Shipping and Transport Logistics, 7(4), 393-406. doi:10.1504/IJSTL.2015.069666
  • Dickey, D. A., and Fuller, W. A. (1979). Distribution of the estimators for autoregressive time series with a unit root. Journal of the American Statistical Association, 74, 427–431. doi:10.2307/2286348
  • Engle, R. (1982). ARCH with estimates of variance of united kingdom ınflation. Econometrica, 50(4), 987-1007. doi:10.2307/1912773
  • Hatemi-J, A. (2012a). Asymmetric causality tests with an application. Empirical Economics, 43(1), 447-456. doi:10.1007/s00181-011-0484-x
  • Hatemi-J, A. (2012b). Is the UAE stock market integrated with the USA stock market? new evidence from asymmetric causality testing. Research in International Business and Finance, 26(2), 273-280. doi:10.1016/j.ribaf.2012.01.002
  • Hatemi-J, A. and Uddin, G. S. (2012). Is the causal nexus of energy utilization and economic growth asymmetric in the US?’. Economic Systems, 36(3), 461-469. doi: /10.1016/j.ecosys.2011.10.005
  • Jing, L., Marlow, P. B., and Hui, W. (2008). An Analysis of freight rate volatility in dry bulk shipping markets. Maritime Policy & Management, 35(3), 237-251. doi: 10.1080/03088830802079987
  • Kavussanos, M., Visvikis, I., and Dimitrakopoulos, D. (2010). Information linkages between panamax freight derivatives and commodity derivatives markets. Maritime Economics and Logistics, 12(1), 91-110. doi: 10.1057/mel.2009.20
  • Kavussanos, M.G., Visvikis, I.D., and Dimitrakopoulos, D.N. (2014). Economic spillovers between related derivatives markets: The case of commodity and freight markets. Transportation Research Part E, 68, 79–102. doi: 10.1016/j.tre.2014.05.003
  • Koopmans, T. C. (1939). Tanker Freight rates and tankship building. Holland: Haarlem.
  • Lee, J., and Strazicich, M. C. (2013). Minimum LM unit root test with one structural break. Economics Bulletin, 33(4), 2483-2492.
  • Lun, Y. V., and Quaddus, M. A. (2009). An empirical model of the bulk shipping market. International Journal of Shipping and Transport Logistics, 1(1), 37-54. doi: 10.1504/IJSTL.2009.021975
  • Ma, S. (2020). Economics of maritime business. London: Routledge.
  • Phillips, P.C.B., and Perron, P. (1988). Testing for unit root in time series regression. Biometrica, 75, 335-346. doi: 10.2307/2336182
  • Radetzki, M. (2008). A handbook of primary commodities in the global economy. New York: Cambridge University Press.
  • Shahbaz, M., Van Hoang, T. H., Mahalik, M. K., and Roubaud, D. (2017). Energy consumption, financial development and economic growth in India: New evidence from a nonlinear and asymmetric analysis. Energy Economics, 63, 199-212. doi: 10.1016/j.eneco.2017.01.023
  • Toda, H.Y., and Yamamoto, T. (1995). Statistical inference in vector autoregressions with possibly integrated processes. Journal of Econometrics, 66, 225–250. doi: 10.1016/0304-4076(94)01616-8
  • Tsioumas, V., and Papadimitriou, S. (2018). The dynamic relationship between freight markets and commodity prices revealed. Maritime Economics and Logistics, 20(2), 267-279. doi: 10.1057/s41278-016-0005-0
  • Tugcu, C. T., and Topcu, M. (2018). Total, Renewable and non-renewable energy consumption and economic growth: Revisiting the issue with an asymmetric point of view. Energy, 152, 64-74. doi:10.1016/j.energy.2018.03.128
  • Tugcu, C. T., Ozturk, I., and Aslan, A. (2012). Renewable and non-renewable energy consumption and economic growth relationship revisited: Evidence from G7 countries. Energy Economics, 34(6), 1942-1950. doi: 10.1016/j.eneco.2012.08.021
  • Tvedt, J. (2003). A new perspective on price dynamics of the dry bulk market. Maritime Policy and Management, 30(3), 221-230. doi: 10.1080/0308883032000133413
  • Umar, M., and Dahalan, J. (2016). An application of asymmetric toda-yamamoto causality on exchange rate-inflation differentials in emerging economies. International Journal of Economics and Financial Issues, 6(2), 420-426.
  • Worldbank (2019) Iron ore prices. Retrieved June 20, 2019 from https://www.worldbank.org/en/rese-arch/commodity-markets.
  • Yu, T.H.E., Bessler, D.A., and Fuller, S.W. (2007). Price dynamics in US grain and freight markets. Canadian Journal of Agricultural Economics, 55(3), 381–397. doi: 10.1111/j.1744-7976.2007.00098.x
  • Zivot, E., and Andrews, D.W.K. (1992). Further evidence of the great crush, the oil price shock and the unit-root hypothesis. Journal of Business and Economic Statistics, 10, 251–70. doi: 10.2307/1391541
Toplam 34 adet kaynakça vardır.

Ayrıntılar

Birincil Dil İngilizce
Konular Deniz Mühendisliği (Diğer)
Bölüm Araştırma Makaleleri
Yazarlar

Abdullah Açık 0000-0003-4542-9831

Sadık Özlen Başer 0000-0001-6632-2617

Yayımlanma Tarihi 29 Haziran 2021
Yayımlandığı Sayı Yıl 2021

Kaynak Göster

APA Açık, A., & Başer, S. Ö. (2021). Impact of Commodity Price on Freight Market Considering the 2008 Crisis: An Investigation of Iron Ore Price and Capesize Shipping Rates. Journal of Maritime Transport and Logistics, 2(2), 62-71. https://doi.org/10.52602/mtl.904918