Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model

Shi, Wenming; Gong, Yuting; Yin, Jingbo; Nguyen, Son; Liu, Qian

doi:10.1016/j.energy.2022.124354

Cited by 5 publications

(2 citation statements)

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“…The microeconomic factors discovered in the literature can be listed as age of the ship (Alizadeh and Talley, 2011), size of the ship (Kavussanos, 2003), speed of the ship (Beenstock and Vergottis, 1989;Magirou et al, 2015), characteristics of buyers and sellers (Adland et al, 2016), open registries (Wilmsmeier and Martinez-Zarzoso, 2010), and bunker price (Shen and Chou, 2015;Yin et al, 2017). On the other hand, the macroeconomic and some other factors discovered in the literature can be listed as oil price (Shi et al, 2022), fleet size (Xu et al, 2011), industrial production (Strandenes, 1984), connectivity to transportation network (Wilmsmeier and Hoffmann, 2008), exchange rates (Chi, 2016), commodity prices (Bandyopadhyay and Rajib, 2023), inflation (Michail et al, 2022), GDP (Başer and Açık, 2019), port efficiency (Lei and Bachmann, 2020), port closures (Lewis et al, 2006), market sentiment (Bai et al, 2021), weather conditions (Açık and Başer, 2018), and pandemics (Xu et al, 2022). Any factor that affects freight will naturally be reflected in the GSCPI value, but modeling all these factors is relatively difficult.…”

Section: Literature Reviewmentioning

confidence: 99%

Analyzing the impact of container shipping service reliability on global supply chain pressure: An asymmetric approach

AÇIK

2023

Marine and Life Sciences

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Delays in international trade negatively affect the global world economically, commercially, and politically. We aimed to empirically determine the asymmetrical effect of the delays experienced in the arrival of container shipping vessels to their destinations on the pressure on the global supply chain by using Global Schedule Reliability (GSR) and Global Supply Chain Pressure Index (GSCPI). The dataset covers the period between January 2017 and April 2023 and consists of 76 observations. The results show that the effect of delays on the supply chain is asymmetrical, while the increase in delays increases the pressure, the decrease in delays has no effect. This shows that the effects of delays on the supply chain are sticky and take a long time to clear from the system. In this direction, policies are recommended to minimize the effect of delays on international trade.

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Section: Literature Reviewmentioning

confidence: 99%

Analyzing the impact of container shipping service reliability on global supply chain pressure: An asymmetric approach

AÇIK

2023

Marine and Life Sciences

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“…In order to deal with the problem of mixed frequency data, the copula-MIDAS framework proposed by Gong et al (2018) is employed in this papaer. The copula-MIDAS model provides a convenient framework for describing the dependence between financial assets that exhibits obvious time-varying characteristics, which allows explanatory variables to be directly included in the dependence structure (Jiang et al, 2020;Nguyen and Javed, 2021;Gong et al, 2022;Shi et al, 2022;Wu et al, 2022). However, the copula-MIDAS model fails to investigate the influence of RA on the dependence between crude oil futures and EUA futurres merkats.…”

Section: Open Accessmentioning

confidence: 99%

Time-varying risk aversion and dynamic dependence between crude oil futures and European Union allowance futures markets

Zhu

2023

Front. Environ. Sci.

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In this paper, we propose the copula-mixed frequency data sampling model incorporating time-varying risk aversion (RA) (copula-MIDAS-RA model) to investigate the impact of time-varying RA on the dynamic dependence between crude oil futures and European Union allowance (EUA) futures markets. An empirical analysis based on the daily data on the Brent crude oil futures and EUA futures returns and the monthly data on the RA index shows that the Student-t copula-MIDAS-RA model has better goodness-of-fit than other copulas, suggesting that the tail dependence between crude oil futures and EUA futures markets is symmetric and time-varying. More importantly, we observe that the RA has a significantly positive impact on the dynamic dependence between crude oil futures and EUA futures markets. That is, the dynamic dependence between crude oil futures and EUA futures markets is expected to increase with the level of RA increases. Moreover, we observe that the Student-t copula-MIDAS-RA model improves the accuracy in risk management relative to other copula models. Our findings have implication for hedging strategies and asset pricing.

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A new multi-objective ensemble wind speed forecasting system: Mixed-frequency interval-valued modeling paradigm

Yang,

Zang,

et al. 2024

Energy

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Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model

Cited by 5 publications

References 36 publications

Analyzing the impact of container shipping service reliability on global supply chain pressure: An asymmetric approach

Analyzing the impact of container shipping service reliability on global supply chain pressure: An asymmetric approach

Time-varying risk aversion and dynamic dependence between crude oil futures and European Union allowance futures markets

A new multi-objective ensemble wind speed forecasting system: Mixed-frequency interval-valued modeling paradigm

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