Publication Date:
2020
Description:
〈p〉Publication date: January 2020〈/p〉
〈p〉〈b〉Source:〈/b〉 Transportation Research Part E: Logistics and Transportation Review, Volume 133〈/p〉
〈p〉Author(s): Jason Angelopoulos, Satya Sahoo, Ilias D. Visvikis〈/p〉
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〈h5〉Abstract〈/h5〉
〈div〉〈p〉To the best of our knowledge, this is the first paper, to utilise a novel dynamic factor model to investigate the economic relationships between 65 commodity (including oil, energy, metal, ores, and agricultural products), maritime transportation (including tanker and dry bulk freight rates) and financial (including derivatives products) markets, under three different frequencies (daily, weekly and monthly) in a single methodological framework. The paper overcomes a limitation of the previous literature that uses pairwise models, and as such, informational cross-market relationships which may have been ignored or not captured are uncovered for the first time. Results indicate strong economic relationships from commodity to freight markets, with crude oil prices serving as the leading (price discovery) indicator among all the investigated markets, but also between different sub-markets. The results are important to international investors and traders, but also provide essential insights to policymakers and regulators, in terms of commercial strategies, asset positioning, network supply chain modelling, asset investment allocation, budgeting and risk management.〈/p〉〈/div〉
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Print ISSN:
1366-5545
Electronic ISSN:
1878-5794
Topics:
Architecture, Civil Engineering, Surveying
,
Geography
,
Economics
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