| dc.description.abstract | This paper utilizes structural vector autoregression to analyze the dynamics of the tanker
shipping market. Inspired by Kilian (2009) we suggest a structural decomposition of the real
tanker freight rate into three components: total tanker supply shocks; global aggregate demand
shocks; and tanker-specific demand shocks. To our knowledge, this is the first study to
disentangle and estimate the dynamic effects of supply and demand shocks to the real tanker
freight rate. The response in the freight rate is found to differ considerably depending on the
type of shock impacting it. Additionally, it is shown that the tanker-specific demand shocks are
most important in determining real tanker freight rates. However, through a historical
decomposition, the paper demonstrates that the relative importance is subject to the market
conditions of specific time periods. Through an extension of the model used to disentangle the
supply and demand shocks, the paper investigates the potential of the real tanker freight rate as
a leading indicator. The results do not indicate a reliable relationship between global total stock
market returns and the real tanker freight rates. | nb_NO |
