Προβλέψεις και οικονομετρική μοντελοποίηση στις θαλάσσιες μεταφορές χύδην ξηρών φορτίων

Μαυρίδης, Μιχαήλ Σ.

Master Thesis

Author

Μαυρίδης, Μιχαήλ Σ.

Date

2012-09-21

Abstract

This thesis aims initially to present the basic characteristics of the market for dry bulk cargoes, and then through appropriate econometric methods of investigation, we study the volatility of the Baltic Dry Index and the influence of various factors on secondhand prices. The Box-Jenkins method is used for the empirical analysis of BDI, leading us to the construction of an autoregressive (ARIMA) model. In the last chapter, we use the Ordinary Least Squares (OLS) method to model some major key factors that contribute to the variation in secondhand prices for Capesize and Panamax vessels. Additionally, we study the cross-correlation for these pairs of variables, in order to examine the lag in time dependence between them. Finally, although the results do not have great differences with the past papers, the final findings demonstrate the difficulty in predicting sudden changes in prices of the freight market and the weakness of forecasting future values. Through the OLS method, we concluded that a change in prices of NewBuilding prices will have the same impact on the secondhand prices, the freight market affects only by 20% the secondhand market, while the coefficients proved to be statistically non-significant between the variables Fleet Growth and the Secondhand Prices.