Shipping markets and freight rates: an analysis of the Baltic Dry Index
Geman, Hélyette and Smith, William O. (2012) Shipping markets and freight rates: an analysis of the Baltic Dry Index. Journal of Alternative Investments 15 (1), pp. 98-109. ISSN 1520-3255.
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Shipping, although a crucial component of the transportation of commodities worldwide, is hardly present in the finance literature at this point. The first and foremost goal of this paper is to describe and explain from an economic perspective the key features of shipping markets; the second one is to analyze the behavior of freight rates, which define the final cost of an imported commodity. We focus on the major index, the BDI (Baltic Dry Index) and propose some diffusion models able to capture the unique features of its trajectories, namely large swings and continuity. Their performance is exhibited on a database covering the period 1988-2010. Such spot models should facilitate the growth of the market of freight rates options, a safe hedging instrument for farmers and cooperatives that ship their grains to distant destinations.
|Keyword(s) / Subject(s):||shipping markets, freight rates dynamics, spot models, agricultural commodities|
|School:||Birkbeck Schools and Departments > School of Business, Economics & Informatics > Economics, Mathematics and Statistics|
|Research Centre:||Commodities Finance Centre|
|Depositing User:||Mr William O Smith|
|Date Deposited:||05 Jul 2012 07:57|
|Last Modified:||07 Dec 2016 15:31|
Available Versions of this Item
Shipping markets and freight rates: an analysis of the Baltic Dry Index. (deposited 14 Jun 2012 09:07)
- Shipping markets and freight rates: an analysis of the Baltic Dry Index. (deposited 05 Jul 2012 07:57) [Currently Displayed]
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