A co-integration approach to forecasting freight rates in the dry bulk shipping sector

A co-integration approach to forecasting freight rates in the dry bulk shipping sector

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Article ID: iaor19982820
Country: United Kingdom
Volume: 31A
Issue: 6
Start Page Number: 447
End Page Number: 458
Publication Date: Nov 1997
Journal: Transportation Research. Part A, Policy and Practice
Authors: ,
Keywords: forecasting: applications
Abstract:

In this paper, a vector autoregressive model is developed for a sample of ocean dry bulk freight rates. Although the series of freight rates are themselves found to be non-stationary, thus precluding the use of many modelling methodologies, evidence provided by cointegration tests points to the existence of stable long-term relationships between the series. An assessment of the forecasts derived from the model suggests that the specification of these long-term relationships does not improve the accuracy of short- or long-term forecasts. These results are interpreted as a corroboration of the efficient market hypothesis.

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