Agent based interaction of commodity price and freight market

Abstract

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.

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

“…In terms of the flow of information, the relationship between dry bulk freight rates has also been examined by Açık and Başer (2021). The relationship between the spot freight rates of Capesize, Panamax, Handymax, and the prices of iron ore, coal, and wheat, which are the 3 main cargo types in the market, is analyzed on an agent-based view.…”

Hierarchical modelling of volatility spillovers in ship demolition markets

“…Developments in other markets are generally shaped according to the situation in the freight market. For example, when freight rates increase, second-hand ship values may also increase, as current earnings and future earning opportunities increase [Açık and Başer 2018a], or new building prices may also increase as demand for new ships increases. When freight drop, old ships with high operating costs are either laid up or sent to demolition [Taylor 1974].…”