The Baltic Dry Index: cyclicalities, forecasting and hedging strategies

Fotis Papailias (), Dimitrios Thomakos and Jiadong Liu
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Fotis Papailias: Queen’s University Belfast
Jiadong Liu: Queen’s University Belfast

Empirical Economics, 2017, vol. 52, issue 1, No 11, 255-282

Abstract: Abstract The cyclical properties of the Baltic Dry Index (BDI) and their implications for forecasting performance are investigated. We find that changes in the BDI can lead to permanent shocks to trade of major exporting economies. In our forecasting exercise, we show that commodities and trigonometric regression can lead to improved predictions and then use our forecasting results to perform an investment exercise and to show how they can be used for improved risk management in the freight sector.

Keywords: Baltic Dry Index; Commodities; Concordance; Cyclical analysis; Forecasting; Freights; Hedging; Trade; Turning points (search for similar items in EconPapers)
JEL-codes: C5 R00 (search for similar items in EconPapers)
Date: 2017
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Citations: View citations in EconPapers (15)

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Working Paper: The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies (2013)
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DOI: 10.1007/s00181-016-1081-9

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