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船舶价格指数与运价相关指数波动之关联性分析

【中文摘要】:散装船产业是一个高资本且高风险的行业,对于散装船公司而言,购置船舶价格的高低深深影响未来二十多年以上的固定营运成本,进而影响船公司在整体市场里的竞争潜力及获利空间。本文选择以散装船市场中新造船及二手船之船舶价格作为探讨对象,将散装船分为海岬型(Cape Size)、巴拿马极限型(Panamax Size) 、轻便型(Handy Size) 三大类型,针对可能影响散装船的新造船价及二手船价的运费相关因素进行分析。
本研究以三种船型的即期及远期租金价格(包含:一年期租金价格、三年期租金价格、现货租金价格)、各运价指数(包含:海岬型运价指数(BCI)、巴拿马极限型运价指数(BPI)、轻便型运价指数(BHI))作为影响船舶价格的研究标的。透过单根检定、向量自我迴归模型方法,探讨在短期及长期情况下,租金、运价指数对船价是否存有显着的影响,以及了解新造船及二手船价的变动间之相互影响关係。并透过Granger因果关係检定,检视指数间有无领先落后情形,作为散装海运经营者在购船时决策的参考。
实证结果得到以下几点结論:(1)单根检定显示各指数与新旧船价之时间序列,呈现非定态序列(Non-stationary Series);经一次差分后指數与船价之时间序列,呈现定态序列(Stationary Series),有助于增加本研究之精确性。 (2)Johansen共整合检定,显示新造船、二手船之船舶价格与航运市场之租金价格、各运价指数间波动,确实呈现环环相扣之連动关係,并且存在一稳定之长期均衡关係。(3)在短期及长期的互动关係下,航运市场中即期及远期租金价格指数波动,将可作为三种船型的二手船价波动之先期变动指标,对二手船船舶价格有较大之解释能力。但对新造船部分,仅对巴拿马极限型(Panamax Size)的新造船舶价格有较大影响力,对其余两种船型的影响则较不显着。(4)三种船型运价指数之波动,可作为三种船型的二手船价波动之先期变动指标,但对于新造船价之影响有限。(5) Granger因果关係检定,显示航运市场之各即期及远期租金价格及各运价指数与三类船型之二手船价间多有双向领先落后因果关係,但对于三类船型之新造船价方面则多无显着因果关係。
综上所述,建议散装海运经营者在作购置二手船舶的决策时,可参考各类船型之即期及远期租金价格变动及各类运价指数作为决策考量方向,但在购置新造船的决策部分,发现三种船型之新造船价格几乎只能由本身过去变异来解释,与其他变数较无显着相关联性。
【英文摘要】:The characteristics of the bulk carrier industry are capital-intensive and higher risks. The decisions of purchasing prices of new bulk carriers determine the fixed operating cost affecting the competitive capacity and the profit margin of the corporation. The researcher classified bulk carriers into Cap Size, Panamax Size and Handy Size and then chose new-building bulks price and second-hand bulks price as study objects. This thesis analyzed the probable factors affecting the prices of new-building bulks and second-hand bulks.
This study adopts rent (including one-year forward rent, three-year forward rent and spot rent) and freight indexes (including BCI,BPI and BHI) of different bulk sizes as independent variables , and used unit root test, vector autoregressive model to analyze that whether there existed the significant correlation among these factors mentioned above and the price of new-building bulks and second-hand bulks or not in the short term and long term. In addition, the researcher analyzed the relationship between new-building bulks and second-hand bulks. In the further, the researcher used the Granger causality test to survey whether existed the lead-lag relationship among indexes, and the result can used as reference for the corporate management for making decisions.
The following are empirical results identified by this thesis:
1. Unit root test identified that the time series data among indexes and bulk prices are non-stationary series. So the researcher transferred these data into stationary series by first order difference method to make the conclusion more accurately.
2. Johansen cointegration test identified that there existed closed relationship among bulk prices, rent, and the volatility of indexes, and these data had stationary equilibrium in the long run.
3. The volatility of spot rent and forward rent had better explanatory power to second-hand bulk price and new building Panamax size bulk, but had less explanatory power to the other.
4. We can regard the volatility of indexes as leading indicator of volatility of second-hand bulk price.
5. The Granger causality test identify that there existed two way causation among rents of shipping market ,indexes and second-hand bulk price, but this result was not found among these factors mention above and new-building bulk price.
In conclusion, the author of the thesis suggested that the corporate management can consider volatility of rents, indexes as their reference before purchasing second-hand bulks. However, the new-building bulks price was another story. It didn’t correlate with other variables significantly, but can only be explained by its past variation.
【参考文献】:

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  • 来源:中山大学;作者:郑光余
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