Can leading indicators be used to predict the demand for sea borne dry bulk activity in the Far East
Master thesis
Permanent lenke
http://hdl.handle.net/11250/167619Utgivelsesdato
2006Metadata
Vis full innførselSamlinger
- Master Thesis [4487]
Sammendrag
Sea borne dry cargo freight demand has in resent years caused high volatility in earnings for
dry bulk shipping companies. Much of this derives from the development in the Far East. In
this paper we test if some specific economic indicators can be helpful in forecasting freight
demand in this region. We assume that the import of iron ore and coal to Japan and South
Korea and iron ore imports to China are good proxies for the overall demand of dry bulk
shipping trade. In the empirical test we use a combination of OLS regressions and an ARIMA
model to view the forecasting abilities on turning points of series. We further use a six months
lag on the explainable variables and a Hodrick-Prescott filter to smooth all series. It becomes
evident that the indicators do not have the predictive properties we initially hoped for. We do,
however, find some common indicators that show significant t-values in relation to the
imports. But, because of our rigid test methods we have some problem with autocorrelation
for the OLS analysis.
Acknow