Dynamics of the Term Structure and Volatility of Shipping Freight Rates

Amir Alizadeh and Nikos K. Nomikos

Journal of Transport Economics and Policy, 2011, vol. 45, issue 1, 105-128

Abstract: This paper investigates the relationship between the dynamics of the term structure and time-varying volatility of shipping freight rates. Using a dataset covering the period from January 1992 to September 2007 and augmented EGARCH models, we find support for the argument that the volatility of freight rates is related to the shape of the term structure of the freight market. Furthermore, it is found that this relationship is asymmetric in the sense that when the freight market is in backwardation, volatility is higher compared to periods when the market is in contango. The results have important implications for freight risk analysis and management. © 2011 LSE and the University of Bath

Date: 2011
References: Add references at CitEc
Citations: View citations in EconPapers (19)

Downloads: (external link)
http://www.catchword.com/cgi-bin/cgi?ini=bc&body=l ... 0110101)45:1L.105;1- (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:tpe:jtecpo:v:45:y:2011:i:1:p:105-128

Access Statistics for this article

Journal of Transport Economics and Policy is currently edited by B T Bayliss, S A Morrison, A Smith and D Graham

More articles in Journal of Transport Economics and Policy from University of Bath
Bibliographic data for series maintained by Christopher F. Baum ().