Combination hedging strategies for crude oil and dry bulk freight rates on the impacts of dynamic cross-market interaction
Combination hedging strategies for crude oil and dry bulk freight rates on the impacts of dynamic cross-market interaction
复制标题
原油和干散货运价组合对冲策略对动态跨市场互动的影响
DOI：
10.1080/03088839.2017.1418092
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发表时间：
2018-01
影响因子：
3.5
通讯作者：
Shun Chen
中科院分区：
文献类型：
--
作者：
Xiaolin Sun;Hailong Liu;Shiyuan Zheng;Shun Chen
运价收入波动和油价波动剧烈是航运业面临的两大主要风险。然而，忽略了成本和收益市场之间的动态相互关系，导致高估或低估的套期保值比率，这使得目前的单一套期保值策略的效率较低。本文提出了一个考虑跨市场经济联系的船东同时交易原油和干散货运价衍生品的最优组合套期保值模型。我们研究了溢出传递、结构突变和动态条件相关性对最优组合套期保值交易的影响。研究发现，海岬型油轮的原油期货价格与干散货期货价格之间存在显著的波动传递关系，表明海岬型油轮对原油价格的波动具有高度的依赖性，这意味着海岬型油轮的动态跨市场互动对海岬型油轮的总体风险敞口具有显著的影响。此外，包含结构突变的动态条件相关性显著提高了组合套期保值的绩效，其上级优于两种单独套期保值策略。我们的研究为运费和石油市场如何与组合套期保值相关提供了新的见解，可以用来促进市场的风险管理。
The fluctuation of freight rates revenue and the fierce volatility of oil cost are two of the most key risk exposures in the shipping industry. However, neglecting the dynamic interrelationship between the cost and the revenue markets leads to the overestimation or underestimation of hedging ratios, which makes the present single hedge strategy less efficient. This paper proposes an optimal combination hedging model for a shipowner trading the derivatives of crude oil and dry bulk freight rates simultaneously with the cross-market economic linkages. We investigate the impacts of spillover transmission, structural breaks, and dynamic conditional correlations on the optimal combination hedging trading. It is found that the significant volatility transmission between oil future and dry bulk FFAs suggests a high dependence of the Capesize sector on the oil fluctuations, which means that the dynamic cross-market interactions have significant impacts on the aggregate risk exposures. Furthermore, the dynamic conditional correlations incorporating structural breaks significantly improve the performance of the combination hedge, which is superior to the two separate hedging strategies. Our study offers new insights into how the freight rates and oil markets relate to a combination hedging, which can be used to promote the risk management in the market.
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影响因子：
1.3
作者：
A. G. Mirantes;J. Población;G. Serna
通讯作者：
A. G. Mirantes;J. Población;G. Serna
影响因子：
3.8
作者：
G. Fishelson
通讯作者：
G. Fishelson
影响因子：
1.9
作者：
D. Lien
通讯作者：
D. Lien
影响因子：
2.2
作者：
M. Kavussanos;Ilias D. Visvikis
通讯作者：
M. Kavussanos;Ilias D. Visvikis
DOI：
10.2139/ssrn.1977191
发表时间：
2011-10
期刊：
Macroeconomics: Aggregative Models eJournal
影响因子：
--
作者：
M. Pesaran;A. Pick;M. Pranovich
通讯作者：
M. Pesaran;A. Pick;M. Pranovich