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The term structure of ocean freight rates

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  • ALBERT W. VEENSTRA

Abstract

This paper contains an empirical investigation of the relation between spot and period freight rates for the ocean dry bulk shipping market. This relation is commonly referred to as a term structure. This paper hypothesizes a present value model, expressing the period rate as expectations of future spot rates, to represent this relation. The present value model is estimated using a vector autoregressive modelling approach. Although formal tests on the vector autoregressive models reject a restriction imposed by the present value relation, alternative, informal, tests proposed in financial markets research show that there is, in fact, considerable evidence that the present value model provides a valid description of the relation between spot and period freight rates. The results in this paper, therefore, support the existence of a term structure in ocean freight rates.

Suggested Citation

  • Albert W. Veenstra, 1999. "The term structure of ocean freight rates," Maritime Policy & Management, Taylor & Francis Journals, vol. 26(3), pages 279-293.
    • Handle: RePEc:taf:marpmg:v:26:y:1999:i:3:p:279-293
    DOI: 10.1080/030888399286899
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    Cited by:

    1. Nikola Kutin & Zakaria Moussa & Thomas Vallée, 2018. "Factors behind the Freight Rates in the Liner Shipping Industry," Working Papers halshs-01828633, HAL.
    2. Okan Duru, 2017. "The Origin and Consistency of the Ton–Mile Metric in the Shipping Economics," Logistics, MDPI, vol. 1(1), pages 1-8, February.
    3. Su-Han Woo & Hee-Seok Bang & Sally Martin & Kevin X. Li, 2013. "Evolution of research themes in Maritime Policy & Management—1973--2012," Maritime Policy & Management, Taylor & Francis Journals, vol. 40(3), pages 200-225, May.
    4. Tezuka, Koichiro & Ishii, Masahiro & Ishizaka, Motokazu, 2012. "An equilibrium price model of spot and forward shipping freight markets," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 48(4), pages 730-742.
    5. Amir H. Alizadeh & Roar Os Ådland & Steen Koekebakker, 2007. "Predictive power and unbiasedness of implied forward charter rates," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 26(6), pages 385-403.
    6. Nikolaos D. Geomelos & Evangelos Xideas, 2017. "Econometric estimation of second-hand shipping markets using panel data analysis," SPOUDAI Journal of Economics and Business, SPOUDAI Journal of Economics and Business, University of Piraeus, vol. 67(1), pages 7-21, January-M.
    7. Photis M. Panayides, 2006. "Maritime policy, management and research: role and potential," Maritime Policy & Management, Taylor & Francis Journals, vol. 33(2), pages 95-105, May.
    8. 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.

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