Quantifying Time-varying Term-risk Premia in Shipping Markets
A Possible Approach
Journal of Transport Economics and Policy, 2011, vol. 45, issue 2, pages 329-340
Recent empirical work, as part of its attempt to establish the expectations hypothesis and explain the term structure of shipping freight rates, has identified the presence of time-varying term-risk premia in shipping markets. Consequently, to proceed further in any such research, a way must be found to model this variable independently from the expectations hypothesis. This paper considers one possible approach that involves deriving a relationship between market risk and market discount rates. This relationship is then employed to illustrate how term-risk premia in shipping markets might be quantified. © 2011 LSE and the University of Bath
References: Add references at CitEc
Citations Track citations by RSS feed
Downloads: (external link)
http://www.catchword.com/cgi-bin/cgi?ini=bc&body=l ... 0110501)45:2L.329;1- (text/html)
Access to full text is restricted to subscribers.
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:tpe:jtecpo:v:45:y:2011:i:2:p:329-340
Access Statistics for this article
Journal of Transport Economics and Policy is edited by B T Bayliss, S A Morrison, D Gillen and D N Starkie
More articles in Journal of Transport Economics and Policy from London School of Economics and University of Bath
Series data maintained by Christopher F. Baum ().