Seaonality in Tanker Spot Freight Market

Economic Modelling 19 Ž2002. 747 782 Seasonality patterns in oiler spot freight rate commercialises Manolis G. Kavussanos a,b,U , Amir H. Alizadeh-M b a plane section of Accounting and Finance, Athens Uni¨ ersity of economics and Business, 76 Patission St, Athens, TK 104 34, Greece b incision of Shipping, Trade and Finance, City Uni¨ ersity Business School, Frobisher Crescent, barbacan Centre, London EC2Y 8HB, UK evaluate 20 April 2001 Abstract The aim of this paper is to analyse the innovation and nature of seasonality Ždeterministic or stochastic . in tanker freight marketplaces and measure and comp atomic number 18 it across sub-sectors and under(a) different market conditions Žexpansionary and contractionary. for the period January 1978 to December 1996. The existence of stochastic seasonality is jilted for every(prenominal) freight series while results on deterministic seasonality limn increases in rank in November and December an d decreases in rates from January to April. Seasonality is found to be varying across markets depending on vessel size and market condition.

Seasonality comparisons under different market conditions, an content investigated for the first clock m in the econometrics literature use Markov electrical switch models, reveal that seasonal rate movements are more pronounced when the market is acquire compared to smaller changes when the market is falling. This is well in line with the commencement and high picnic of supply expected in expansionary and contractionary periods of shipping markets. The results have implications for tactical shipping operations such as budget planning, t ime of dry-docking, vessel speed adjustment! s and repositioning. As expected, the out-of-sample forecasting performance of these Markov regimen Switching models is lacking somewhat, a result which is thought to be a consequence of having to predict states simultaneously with mean values. 2002 Elsevier cognizance B.V. all rights reserved. JEL classifications: L91; L92; C22;...If you want to get a full essay, ordering it on our website: OrderEssay.net

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