IDEAS home Printed from https://ideas.repec.org/a/pal/marecl/v17y2015i2p142-162.html
   My bibliography  Save this article

The stochastic seasonal behavior of freight rate dynamics

Author

Listed:
  • Javier Poblacion

    (D.G. Supervisión, Banco de España, c/ Alcalá 48, Madrid, 28014, Spain.)

Abstract

Previous studies on freight rate dynamics have explored the behavior of freight rates and their characteristics, including unit root, among other factors. However, there are few articles related to the stochastic process characterizing their dynamics. Moreover, to the best of the authors’ knowledge, there are no articles that incorporate seasonality in the freight rate dynamics. In the present article, we propose a factor model for the stochastic behavior of TCE (Time Charter Equivalent) and WS (World Scale) prices where one factor is a seasonal factor. In addition, based on this type of modeling, we study the seasonal behavior of freight rates and find that models allowing for stochastic seasonality outperform models with deterministic seasonality. Therefore, ship owners and charterers can accommodate their business strategies to the facts that (i) freight rates are higher in winter and spring than in the summer and autumn and that (ii) these differences are not deterministic but stochastic. These facts have also important implications in derivatives valuation and hedging.

Suggested Citation

  • Javier Poblacion, 2015. "The stochastic seasonal behavior of freight rate dynamics," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 17(2), pages 142-162, June.
    • Handle: RePEc:pal:marecl:v:17:y:2015:i:2:p:142-162
    as

    Download full text from publisher

    File URL: http://www.palgrave-journals.com/mel/journal/v17/n2/pdf/mel201437a.pdf
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: http://www.palgrave-journals.com/mel/journal/v17/n2/full/mel201437a.html
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Roar Adland & Pierre Cariou & Francois-Charles Wolff, 2017. "What makes a freight market index ?," Post-Print hal-03913228, HAL.
    2. Roar Adland & David Hansson & Levin von der Wense, 2017. "Valuing cargo flexibility in oil transportation," Maritime Policy & Management, Taylor & Francis Journals, vol. 44(7), pages 803-814, October.
    3. Javier Población & Gregorio Serna, 2018. "A common long-term trend for bulk shipping prices," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 20(3), pages 421-432, September.
    4. Adland, Roar & Cariou, Pierre & Wolff, Francois-Charles, 2017. "What makes a freight market index? An empirical analysis of vessel fixtures in the offshore market," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 104(C), pages 150-164.
    5. Zhang, Yi, 2018. "Investigating dependencies among oil price and tanker market variables by copula-based multivariate models," Energy, Elsevier, vol. 161(C), pages 435-446.
    6. Sercan Erol, 2017. "Calculation of the freight revenues in Turkey-focused maritime transportation," Maritime Policy & Management, Taylor & Francis Journals, vol. 44(7), pages 815-824, October.
    7. Javier Población, 2017. "Are recent tanker freight rates stationary?," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 19(4), pages 650-666, December.
    8. Javier Población & Gregorio Serna, 2021. "Measuring bulk shipping prices risk," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 23(2), pages 291-309, June.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:marecl:v:17:y:2015:i:2:p:142-162. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.