基于MS(2)-AR-TVTP模型的IBD波动周期非对称性和持续性分析
Asymmetry and duration of IBD fluctuation periods based on MS(2)-AR-TVTP model
陈丽芬 1谢新连 2林嘉俊1
作者信息
- 1. 集美大学航海学院,福建厦门 361021
- 2. 大连海事大学交通运输工程学院,辽宁大连 116026
- 折叠
摘要
国际干散货运输市场源于国际贸易的衍生需求,受世界经济的影响,是一个典型的周期性市场.选取1999年11月～2021年12月的波罗的海干散货运价指数(IBD)月度数据,在检验序列平稳性的基础上,确定最优滞后长度,构建两区制的时变转换概率马尔科夫转换自回归模型,分析IBD波动周期的持续时间、转换拐点和非对称性等主要特征.研究结果表明:模型能有效拟合IBD波动周期的主要特征,周期平均持续时间为33.7个月,自2008年9月之后呈缩短态势,上升期和下降期交互更频繁;IBD波动周期具有非对称性,周期内上升期持续时间比下降期长,IBD维持上升期更具有稳定性.周期性特征结果可为干散货航运业造船投资和市场经营提供决策依据.
Abstract
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.
关键词
MS(2)-AR-TVTP模型/IBD波动周期/转换拐点/持续时间Key words
MS(2)-AR-TVTP model/IBD fluctuation periods/transition point of inflection/time of duration引用本文复制引用
基金项目
福建省教育厅中青年教师教育科研项目(JAT220170)
出版年
2024
NETL
NSTL
万方数据