Exploring volatility transmission in Capesize freight contracts: Insights from energy and commodity markets

Jackson Jinhong Mi, Shek Ahmed and Yanhui Chen

PLOS ONE, 2025, vol. 20, issue 1, 1-27

Abstract: Analyzing the interactions between spot and time charter freight is crucial for the maritime industry. While numerous studies have explored the relationship between average freight indices and spillover effects, a gap remains in understanding the deeper connections between inter-regional shipping routes and chartering contracts. This research investigates the role of Capesize freight dynamics in shaping the regional dry bulk freight market, with a focus on the influence of energy and commodity price fluctuations. Utilizing the TVP-VAR model, we identify distinct trends across various investment horizons. The analysis reveals that short-term spillovers dominate the system, with crude oil serving as a consistent shock transmitter within the time charter network. The China-Brazil route drives spillovers across all periods, while the Australia-China route transitions from absorbing short-term volatility to transmitting long-term shocks. Similarly, the Tubarão-Rotterdam and Bolivar-Rotterdam routes display comparable shifts, transmitting short-term spillovers but absorbing long-term volatility. These findings offer valuable insights for stakeholders seeking to manage risks amidst economic and geopolitical uncertainties.

Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:plo:pone00:0317487

DOI: 10.1371/journal.pone.0317487

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