The asymmetric relationship between Baltic Dry Index and commodity spot prices: evidence from nonparametric causality-in-quantiles test

Bandyopadhyay, Arunava; Rajib, Prabina

doi:10.1007/s13563-021-00287-y

Cited by 13 publications

(11 citation statements)

References 57 publications

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“…Moreover, USA 10 Years Bond Yield (%) is used as an indicator of global interest rates, besides, Brent oil (USD/Barrel), and Global Economic Uncertainty Index (GEPU) were also used in this research model. For centuries, it is known that commodity price volatility can affect to freight rates and trade volumes in shipping markets (Bandyopadhyay and Rajib, 2021) 1 and time-series graphics created with raw data are presented in Figure 1.…”

Section: Methodsmentioning

confidence: 99%

“…According to the analysis result, only a linear Granger causality relationship between both variables was determined (Gao, Zhao and Zhang, 2021). Bandyopadhyay and Rajib (2021) aimed to find out an asymmetric relationship between BDI and commodity spot prices. The authors used the causality-in-quantiles (CiQ) model in the research.…”

Section: Literature Overviewmentioning

confidence: 99%

“…The research dataset covers the period from June 2006 to November 2018. According to the empirical result, there was a causal association between the BDI and commodity spot prices (Bandyopadhyay and Rajib, 2021).…”

Section: Literature Overviewmentioning

confidence: 99%

“…Approximately 84% of all freight transported worldwide is shipped by sea. Basically, as stated in the International Chamber of Shipping report (2019), about 50,000 merchant ships are registered in more than her 150 countries and are operated by millions of seafarers (Başer and Açık, 2019;Bandyopadhyay and Rajib, 2021). Maritime transportation provides extensive transport networks and high-volume transport capacity; therefore, maritime transport provides costeffective service (Yıldız and Bucak, 2017).…”

Section: Introductionmentioning

confidence: 99%

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Determining the Causal Relationship Between Baltic Dry Index (Bdi) and Macroeconomic Variables by Toda-Yamamoto Analysis

AKDAĞ

Kocabıyık

Karaatlı

2023

Yönetim Ve Ekonomi Araştırmaları Dergisi

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The Baltic Dry Index (BDI) is the most critical indicator taking the pulse of maritime trade. Hence, it is essential to determine the macroeconomic variables that affect the BDI, which is a solid indicator for global economic activities in maritime transport. This research paper studies the association between macroeconomic indicators and the BDI. For this purpose, the Toda-Yamamoto approach was performed to examine the causal association between macroeconomic variables and the BDI. The Lee-Strazicich (LS) unit root test was applied based on Model C (break) to determine the stationary of the model series. The research's findings shed significant light on the relationship between the BDI and macroeconomic variables. According to the Toda-Yamamoto causality test results: BDI has a two-way relationship with S&P 500 and MSCI World indexes; besides, there is a one-way relationship from €/$ parity to BDI and from BDI to BCOM index.

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Section: Methodsmentioning

confidence: 99%

Section: Literature Overviewmentioning

confidence: 99%

Section: Literature Overviewmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

Determining the Causal Relationship Between Baltic Dry Index (Bdi) and Macroeconomic Variables by Toda-Yamamoto Analysis

AKDAĞ

Kocabıyık

Karaatlı

2023

Yönetim Ve Ekonomi Araştırmaları Dergisi

View full text Add to dashboard Cite

show abstract

“…Also, it can be stated that every coupla function generates a multivariate joint distribution by combining marginal distributions and the dependency between the variables; it is the very distinctive feature of couplas because coupla functions can be used to model the behavior of univariate marginal distributions of each of the random variables separated from the dependence between random variables (Huang et al, 2020). There is no study which investigates the asymmetry between Baltic Exchange indexes; however, Bandyopadhyay and Rajib (2021) have investigated the asymmetric relation between Baltic Dry Index (BDI) and eight commodity returns. They have used variances, linear and nonlinear models and have applied Casualty in Quantiles approaches to find the asymmetry between BDI and other commodities.…”

Section: Literature Reviewmentioning

confidence: 99%

Modeling the symmetric relation between Baltic Exchange indexes

Pourkermani

2022

MABR

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PurposeThis research provides some evidence by the vine copula approach, suggesting the significant and symmetric causal relation between subsections of Baltic Exchange and hence concluding that investing in different indexes, which is currently a risk diversification system, is not a correct risk reduction strategy.Design/methodology/approachThe daily observations of Baltic Capesize Index (BCI), Baltic Handysize Index (BHSI), Baltic Dirty Tanker Index (BDTI) and Baltic LNG Tanker Index (BLNG) over an eight-year period have been used. After collecting data, calculating the return and estimating the marginal distribution of return rates for each of the indexes applying asymmetric power generalized autoregressive conditional heteroskedasticity and autoregressive moving average (APGARCH-ARMA), and with the assumption of skew student's t-distribution, the dependence of Baltic indexes was modeled based on Vine-R structures.FindingsA positive and symmetrical correlation was observed between the study groups. High and low tail dependence is observed between all four indexes. In other words, the sector business groups associated with each of these indexes react similarly to the extreme events of other groups. The BHSI has a pivotal role in examining the dependency structure of Baltic Exchange indexes. That is, in addition to the direct dependence of Baltic groups, the dependence of each group on the BHSI can transmit accidents and shocks to other groups.Practical implicationsSince the Baltic Exchange indexes are tradable, these findings have implications for portfolio design and hedging strategies for investors in shipping markets.Originality/valueVine copula structures proves the causal relationship between different Baltic Exchange indexes, which are derived from different types of markets.

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The effect of the global supply chain and oil prices on the inflation rates in advanced economies and emerging markets

Mohammed

Tiwari

et al. 2023

Geological Journal

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This study investigates the effect of global supply chain pressures and crude oil prices on the consumer price index from October 1997 to February 2022 using panel linear and nonlinear autoregressive distributed lags (ARDLs, NARDLs). The results showed that the asymmetric effect of the global supply chain on the inflation rate is stronger when the supply chain increases than when it decreases in the long run for advanced economies and vice versa in emerging markets. A one standard deviation of the supply chain pressures has rebounded the inflation rate by about 1.7% and 0.71% for advanced economies and emerging markets, respectively. The findings establish that a 10 U.S. dollar increase in oil prices leads the inflation rate to rise by 0.1%–0.6% for all countries in the short run. However, the impact of the global supply chain index fits much better with the inflation rate than the oil prices in the short and long run, including the subprime crisis, such as the COVID‐19 outbreak, and the beginning of the Russo–Ukrainian conflict. Thus, the empirical results of the current study provide acumens for policymakers of advanced economies and emerging markets to consume green energy and make use of green technology and environmental innovations for counterbalancing the inflation issues induced by the higher rates of oil prices without halting the economic growth and sustainable development.

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The asymmetric relationship between Baltic Dry Index and commodity spot prices: evidence from nonparametric causality-in-quantiles test

Cited by 13 publications

References 57 publications

Determining the Causal Relationship Between Baltic Dry Index (Bdi) and Macroeconomic Variables by Toda-Yamamoto Analysis

Determining the Causal Relationship Between Baltic Dry Index (Bdi) and Macroeconomic Variables by Toda-Yamamoto Analysis

Modeling the symmetric relation between Baltic Exchange indexes

The effect of the global supply chain and oil prices on the inflation rates in advanced economies and emerging markets

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