Asymmetry and duration of IBD fluctuation periods based on MS(2)-AR-TVTP model
International dry bulk shipping market is a derived demand of the international trade,it's a typical cyclical market affected by the world economy.Based on the monthly data of IBD(Baltic Dry Index)from November 1999 to December 2021,the model of Markov Switching Auto-Regression Time-Varying Transition Probabilities of two regimes is built to analyze the duration,transition point of inflection and asymmetry of IBD fluctuation periods.The results show that the MS(2)-AR-TVTP model can fit the main characters of IBD fluctuation periods effectively.The average duration of period is 33.7 months.The length of the period presents a tendency to shorten from September 2008.The conversion between high-tide and low-tide period becomes more frequent.The different stages in the period have asymmetry of distribution.The duration of high-tide period is longer than low-tide period and has a more reliable performance.The cyclical characterization results can provide a basis for decision-making in the dry bulk shipping industry,shipbuilding investment and market operations.
MS(2)-AR-TVTP modelIBD fluctuation periodstransition point of inflectiontime of duration
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