Volatility forecasting across tanker freight rates: The role of oil price shocks

Gavriilidis, Konstantinos; Kambouroudis, Dimos S; Tsakou, Katerina; Tsouknidis, Dimitris A.

doi:10.1016/j.tre.2018.08.012

Cited by 68 publications

(14 citation statements)

References 53 publications

Supporting

Mentioning

Contrasting

Order By: Relevance

“…Shi, Yang, and Li, (2013), by employing the framework of Kilian (2009), have shown that demand shocks of oil do not affect the tanker freight rates but on the contrary it is the supply shocks that have an effect on them. Despite this findings, Gavriilidis, Kambouroudis, Tsakou, and Tsouknidis (2018) have shown that the inclusion of aggregate oil demand shocks and oil-specific demand shocks improves the explanatory power of the forecasted volatility of 1 year time charter rates for all the vessel sizes.…”

Section: Literature Reviewmentioning

confidence: 80%

COVID-19 and the Energy Trade: Evidence from Tanker Trade Routes

Michail

2021

SSRN Journal

View full text Add to dashboard Cite

Section: Literature Reviewmentioning

confidence: 80%

COVID-19 and the Energy Trade: Evidence from Tanker Trade Routes

Michail

2021

SSRN Journal

View full text Add to dashboard Cite

“…They found that oil market volatility has a significant influence on the tanker market. Gavriilidis et al [14] discovered that considering oil demand shocks significantly improves the forecasting accuracy of tanker freight rate volatility, while considering oil supply shocks has a very limited influence on the volatility forecasting results. Maitra et al [15] investigated the volatility transmission between oil and liner shipping stock returns using dynamic conditional equicorrelations and the directional spillover index approach.…”

Section: Literature Reviewmentioning

confidence: 99%

Asymmetric Dependence between Oil Prices and Maritime Freight Rates: A Time-Varying Copula Approach

Choi

Yoon

2020

Sustainability

View full text Add to dashboard Cite

Changes in crude oil price affect the shipping freight market via three different channels. This study explores the dependence structure between oil prices and maritime freight rates to identify the effective channel. Therefore, it investigates the relationship between oil prices and three major maritime freight rates; the Baltic Dry Index (BDI), the Baltic Dirty Tanker Index (BDTI), and the Baltic Clean Tanker Index (BCTI). We employ the decomposition method, not studied in the existing literature, and the copula approach which can identify the time-varying effects and asymmetry in the tail dependence structure between oil prices and freight rates. The main results of this analysis are as follows: the decomposed components display different conditional dependence patterns, and asymmetry is revealed in the upper and lower tail dependence. In the long-run, we find more dependence in extreme periods like the financial crises. In short-run fluctuations, we find the dependence increases in an economic boom. The implications of the results suggest that dependence can vary over time and may change depending on extreme events, implying that the complementary strategies should be different the long-run and short-run.

show abstract

“…The definition and pricing of freight is an important activity for logistics systems. There are many variables to consider in this pricing and, according to Gavriilidis et al [35] and Sánchez-Díaz [36], sustainability aspects must be considered in this analysis.…”

Section: Logistics Systemsmentioning

confidence: 99%

Sustainable Practices in Logistics Systems: An Overview of Companies in Brazil

et al. 2019

View full text Add to dashboard Cite

The main purpose of this article is to present an overview of the applications of sustainable practices in logistic operations performed by Brazilian companies. To reach this objective, the following steps were carried out: (1) a review of the literature on logistics systems and sustainability in logistics activities; (2) the collection of sustainability reports published by companies that perform logistics operations, which are recognized in Brazil; (3) a content analysis of the reports collected and (4) a discussion of the results, cross-checked with the literature and the extrapolation of conclusions. It was possible to identify 22 sustainable practices, and these practices were grouped into five macro areas. The authors of this paper believe that the findings presented here can be useful for professionals and researchers in the implementation of sustainability practices in logistics systems.

show abstract

Volatility forecasting across tanker freight rates: The role of oil price shocks

Cited by 68 publications

References 53 publications

COVID-19 and the Energy Trade: Evidence from Tanker Trade Routes

COVID-19 and the Energy Trade: Evidence from Tanker Trade Routes

Asymmetric Dependence between Oil Prices and Maritime Freight Rates: A Time-Varying Copula Approach

Sustainable Practices in Logistics Systems: An Overview of Companies in Brazil

Contact Info

Product

Resources

About