China Containerized Freight Index 영향 변수 관계 분석
Modeling Relationships of Multiple Variables with VECM on CCFI
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초록
본 연구는 컨테이너 대표 운임지수인 CCFI에 영향을 미치는 변수와 영향 정도를 분석하는 것을 연구의 목적으로 한다. 이를 위해 VECM을 적용했으며, 활용된 변수는 CCFI, 중국 컨테이너 수출입물동량, 컨테이너 선박 신조선가, 컨테이너 선박 중고선가, 컨테이너 선박 용선료, 컨테이너 선박 계약량, 컨테이너 선박 계선량, 컨테이너 해운시장 감성 분석 결과 값, 미국 PMI, 중국 PMI다, 이중 컨테이너 해운시장 감성 분석 결과 값, 미국 PMI, 중국 PMI는 market sentiment 변수다. 분석 결과, 1개월 전의 중국 컨테이너 수출물동량은 1.515의 영향을 CCFI에 주는 것으로 분석되었으며, 2개월, 3개월 전의 중국 컨테이너 수출물동량은 CCFI에 각각 1.182, 1.047 영향을 미치는 것으로 분석되었다. 1개월, 2개월 전의 CCFI는 CCFI에 각각 0.821, –0.559의 영향을 미치는 것으로 분석되었다. 컨테이너 해운시장 감성 분석 결과는 CCFI에 0.245의 영향을 주는 것으로 분석되었다.
Abstract
The purpose of this study is to find out the variables that affect the China Containerized Freight Index (CCFI), a representative container freight index. CCFI, China container export volume, China container import volume, containership newbuilding price, containership second-hand price, containership time charter rate index, containership contract volume, containership idle, result of container shipping market sentiment, Purchasing Manager's Index those of China and US PMI were used via VECM. Among these variables, result of container shipping market sentiment, Chinese PMI and US PMI are indicators of market sentiments. It was found that the China container export volume a month ago had an effect of 1.515 on CCFI, while that of two and three month ago had an effect of 1.182 and 1.047 on the CCFI respectively. CCFI of previous month and two month ago was analyzed to have an effect of 0.821 and -0.559 on CCFI respectively. The result of container shipping market sentiment analysis was found to have an effect of 0.245 on the CCFI.
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