Journal of Navigation and Port Research (한국항해항만학회지)

Korean Institute of Navigation and Port Research (한국항해항만학회)
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Study on the Forecasting and Effecting Factor of BDI by VECM

VECM에 의한 BDI 예측과 영향요인에 관한 실증연구

  • Lee, Sung-Yhun (School of Port and Logistics, Kaya University) ;
  • Ahn, Ki-Myung (Division of Shipping Management, Korea Maritime and Ocean University)
  • 이성윤 (가야대학교 항만물류학과) ;
  • 안기명 (한국해양대학교 해운경영학부)
  • Received : 2018.09.28
  • Accepted : 2018.10.18
  • Published : 2018.12.31
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Abstract

The Bulk market, unlike the line market, is characterized by stiff competition where certain ship or freight owners have no influence on freight rates. However, freights are subject to macroeconomic variables and economic external shock which should be considered in determining management or chartering decisions. According to the results analyzed by use of ARIMA Inventiom model, the impact of the financial crisis was found to have a very strong bearing on the BDI index. First, according to the results of the VEC model, the libor rate affects the BDI index negatively (-) while exchange rate affects the BDI index by positively (+). Secondly, according to the results of the VEC model's J ohanson test, the order ship volume affects the BDI index by negatively (-) while China's economic growth rate affects the BDI index by positively (+). This shows that the shipping company has moved away from the simple carrier and responded appropriately to changes in macroeconomic variables (economic fluctuations, interest rates and exchange rates). It is believed that the shipping companies should be more aggressive in its "trading" management strategy in order to prevent any unfortunate situation such as the Hanjin Shipping incident.

부정기시장은 정기선시장과는 달리 특정 선주나 화주가 운임에 영향을 미칠 수 없는 완전경쟁시장으로서 화물수요와 선복량에 의해 운임이 결정되지만, 금리, 환율, 경제성장율과 같은 거시경제 변수와 금융위기와 같은 경제적 충격에도 영향을 받기 때문에 용선의사결정 시 이를 고려하여야 한다. 본 논문은 금융위기 전후기간 동안(2005년부터 2017년) BDI지수에 영향을 미치는 요인이 무엇인지를 분석하고 예측하였다. ARIMA 개입모형 분석결과에 의하면, 금융위기충격은 BDI 지수에 매우 강한 영향관계가 있는 것으로 검정되었다. VEC모형 분석 결과에 의하면, 첫째로, 리보금리는 BDI 지수에 음(-)의 영향을 미치고 환율은 양(+)의 영향을 미치는 것으로 나타나고 있다. 셋째로, Johansen 검정결과에 의하면, 중국경제성장율이 BDI 지수에 정(+)의 영향을 미치고 있는데 이는 선행연구와 마찬가지로 중국은 세계의 공장이면서 소비시장으로 원자재 및 석유수요가 매우 높아 BDI 지수에 정(+)의 영향관계가 있는 것으로 입증되었다. 넷째로, 벌크발주 선복량은 BDI 지수에 부(-)의 영향을 미치는 것으로 실증되었다. 따라서, 해운선사는 단순한 운송기업에서 벗어나서 거시경제변수변화에 적절히 대처하고 경기변화에 따라 발주선복량을 적절히 조절할 수 있는 트레이딩(Trading) 경영전략을 보다 적극적으로 구사하여야만 한진해운파산 같은 안타까운 사태를 방지할 수 있을 것으로 판단된다.

Keywords

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Fig. 1 BDI Annual trend

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Fig. 2 Bulk shipping freight market

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Fig. 3 Actual and forcasting BDI

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Fig. 4 Response for BDI by impulse variable

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Fig. 5 Forcast for BDI by libor

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Fig. 6 Forcast for BDI by exchange rate

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Fig. 7 Forcast for BDI by order ship volume

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Fig. 8 Forcast for BDI by china economic growth ratio

Table 1 Preceding study

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Table 2 Descriptive statistics for variables

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Table 3 Correlations analysis

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Table 4 Dickey-Fuller test Results

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Table 5 ARIMA model analsis results

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Table 6 Statistics of error

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Table 7 ARIMA invention model analsis results

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Table 8 AIC•HQIC•SBIC results

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Table 9 Vecrank analsis results

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Table 10 Fitness of variables

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Table 11 VECM analsis results

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Table 12 Johansen cointegrating test

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Table 13 Johansen normalization restrictions imposed

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Table 14 BDI comparison between Focasting and Actual

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