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A common long-term trend for bulk shipping prices

机译：散装运输价格的长期共同趋势

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摘要

Previous studies regarding freight rate dynamics have explored the behaviour of freight rates and their characteristics. Specifically, many studies analyse the relation between freight rates and find that they are cointegrated. In this paper, using different factor models to jointly estimate the dynamics of freight rates, we show that freight rates are not only cointegrated but also share common long-term dynamics. This finding has crucial implications in terms of managing and hedging the risk encountered by shipping companies. For example, a simpler joint model, with a common long-term trend, may be better for characterizing freight rates than a more complicated model, with different long-term trends, that has more parameters and is more difficult to estimate.
机译：先前有关运费动态的研究已经探索了运费的行为及其特征。具体来说，许多研究分析了运费之间的关系，并发现它们是协整的。在本文中，使用不同的因子模型共同估算运费的动态，我们表明运费不仅是协整的，而且具有共同的长期动态。这一发现对管理和对冲航运公司所面临的风险具有至关重要的意义。例如，具有共同的长期趋势的更简单的联合模型可能比具有不同的长期趋势，具有更多参数且更难以估计的更复杂的模型具有更好的刻画运费率。

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