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: | Franses Philip Hans, Veenstra Albert Willem |
Keywords: | forecasting: applications |
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.