Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model

Angelopoulos, Jason; Sahoo, Satya; Visvikis, Ilias D.

doi:10.1016/j.tre.2019.101836

Cited by 47 publications

(28 citation statements)

References 59 publications

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“…Likewise, Papapostolou et al, 2014 , Papapostolou et al, 2016 show that industrial production and cumulative crisis periods in Asia and in the G7 countries are acting as indicators of the international demand for shipping services. Finally, oil prices have extensively being linked with the shipping markets as they have a lead-lag relationship with the freight rates ( Angelopoulos et al, 2020 ) and thus they can provide better forecasts for the tanker and the dry bulk market ( Gavriilidis et al, 2018 ; Michail, 2020 ).…”

Section: Review Of the Related Literaturementioning

confidence: 99%

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Michail

Melas

2020

Transportation Research Interdisciplinary Perspectives

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In the current study, we examine, for the first time in the literature, the impact of exogenous effects in the shipping industry by employing data from the recent Covid-19 pandemic outbreak and explore the reactions of freight rates for dry bulk, clean, and dirty tankers. Our results, using both GARCH (1,1) and VAR specifications, suggest that such events are directly affecting the dry bulk and the dirty tanker segments. In addition, the results also suggest that second round effects, mostly via the decline in oil prices and, in some cases, third round effects via the impact from the stock market, also exist. Finally, by employing daily port calls a proxy variable for the demand for transportation services, we show that both the dry bulk and clean tankers are highly affected by the demand side of the economy, while vessels which transport crude oil do not register such a relationship.

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Section: Review Of the Related Literaturementioning

confidence: 99%

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Michail

Melas

2020

Transportation Research Interdisciplinary Perspectives

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“…In terms of information flow between commodity prices and freights, a study similar to our thesis was done by Angelopoulos et al (2020). In their study, researchers studied the information pass-through between commodity prices and corresponding dry bulk and tanker freights.…”

Section: Commodity and Freight Marketsmentioning

confidence: 99%

“…Considering that commodities' prices also carry information about their supply and demand, there may be an interaction between commodity prices and freight markets. This possible interaction has also been studied in the maritime economics literature, and significant results have been achieved (Kavussanos et al, 2010;Kavussanos et al, 2014;Chou et al, 2015;Tsioumas and Papadimitriou, 2018;Açık and Başer, 2018a;Açık and Başer, 2018b;Açık and İnce, 2019;Açık and Başer, 2019;Başer and Açık, 2019;Açık and Başer, 2020;Angelopoulos et al, 2020). In these studies, interactions in derivative markets and over past prices were examined.…”

Section: Introductionmentioning

confidence: 99%

Agent based interaction of commodity price and freight market

Açık

Başer

2021

bmij

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This study investigates the relationship between iron ore, coal and wheat prices, three major dry bulk cargoes, and Capesize, Panamax, and Handymax freight, which are the intensively used ships in transportation three essential cargoes. These major ship types are considered agents in the market. The main research questions are whether there are a volatility spillover and risk transmission between commodity prices and freight routes and whether there is a differentiation in relations according to the type of cargo and intensive carriage rate. Causality in variance analysis is used to test these research questions, which determines the flow of information between variables and the volatility spillover. The obtained results reveal that the interaction can differ according to both ship types and commodity types, and volatility spillovers and risk transfers are from commodity prices to freight rates.

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“…The interaction between dry bulk freight rates and commodity prices has also been the subject of some studies in terms of information flow. In the research conducted by Angelopoulos et al (2020), the relationship between freight rates and commodity prices was examined in terms of information flow in dry and liquid bulk markets. According to the results, increases in the prices of dry bulk cargo cause an increase in freight rates in the market.…”

Section: Literature Reviewmentioning

confidence: 99%

“…Since most of the iron ore commodity is transported by Capesize vessels, it is inevitable that there will be a relationship between the price of iron ore and the freight of this ship type. There are several studies on this topic from various angles: economic spillover effect (Kavussanos et al, 2010, Kavussanos et al, 2014: Angelopoulos et al, 2020 To determine the possible break that was caused by the 2008 global economic crisis, unit root tests with one structural break have been implemented to the data. The results have revealed that there was a break in the date of July 2008 at both level and trend.…”

Section: Introductionmentioning

confidence: 99%

Impact of Commodity Price on Freight Market Considering the 2008 Crisis: An Investigation of Iron Ore Price and Capesize Shipping Rates

Açık¹,

Başer²

2021

Deniz Taşımacılığı Ve Lojistiği Dergisi

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This study investigated the asymmetric causality from iron ore price to freight market through Capesize rates by considering the possible impact of the 2008 global economic crisis. The study used a monthly data set of 233 observations covering the period between January 2000 and June 2019. According to the structural break tests, a break was detected in June 2008 and the analyses were performed for two separate periods as pre-crisis and post-crisis in addition to the whole period. The results for the whole period revealed that positive shocks in iron ore price caused negative shocks in freight rate and negative shocks caused both negative and positive shocks. In the pre-crisis period, positive shocks in the iron ore prices caused positive shocks in the freight rates. In the post-crisis period, negative shocks in the ore prices caused both negative and positive shocks in freight rates. These results suggested that the impact of commodity prices on the freight market before and after the crisis might vary.

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Commodity and transportation economic market interactions revisited: New evidence from a dynamic factor model

Cited by 47 publications

References 59 publications

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Shipping markets in turmoil: An analysis of the Covid-19 outbreak and its implications

Agent based interaction of commodity price and freight market

Impact of Commodity Price on Freight Market Considering the 2008 Crisis: An Investigation of Iron Ore Price and Capesize Shipping Rates

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