Journal of Dalian Maritime University >
2016 , Vol. 42 >Issue 4: 119 - 124
DOI: https://doi.org/10.16411/j.cnki.issn1006-7736.2016.04.019
Correlation analysis of dry bulk freight and bunker oil price based on SVAR model
Received date: 2016-03-21
Revised date: 2016-05-05
Online published: 2016-05-05
To seek the dynamic correlation between dry bulk freight and bunker oil price, the the monthly data of Baltic Dry Index (BDI) and oil price from January 2000 to December 2015 were chosen as samples to sets up the structural vector auto regression (SVAR) model, and the relationship between them was analyzed by using Granger causality test model, the impulse response and variance decomposition. Empirical results show that the shortrun volatility between the two markets has bidirectional causality links, but the interaction degree of them is different, the volatility of oil price affects dry bulk freight more significantly.
CHEN Li-fen , XIE Xin-lian , SANG Hui-yun , WANG Wen . Correlation analysis of dry bulk freight and bunker oil price based on SVAR model[J]. Journal of Dalian Maritime University, 2016 , 42(4) : 119 -124 . DOI: 10.16411/j.cnki.issn1006-7736.2016.04.019
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