The Structural Change in the BDI Function due to the Global Financial Crisis: Using the Kalman Filter
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This paper empirically investigated using the Kalman Filter method if structural changes have occurred in the Baltic Dry Index (BDI) function during the global financial crisis period (2007:04-2009:08). Our results showed that BDI was negatively related with the eurodollar interest rate and positively with the US stock price while the China's iron imports affected BDI positively, confirming the existence of the China effect. Through the changes in the magnitudes of the elasticities, we found that the substantial structural changes have occurred three times: 2007:05, 2008:11 and 2009:03. These three periods reflected the sub-prime mortgage crisis in the US, the global financial crisis initiated by the bankruptcy of Lehman Brothers, and an achievement of the lowest stock price in the US respectively. All the elasticities of three explanatory variables increased unanimously in 2007:05, although the direction of the movements were different in the last two periods. In 2008:11, the effect of global financial crisis dominates the China effect while it reversed in 2009:03.
Abstract
This paper empirically investigated using the Kalman Filter method if structural changes have occurred in the Baltic Dry Index (BDI) function during the global financial crisis period (2007:04-2009:08). Our results showed that BDI was negatively related with the eurodollar interest rate and positively with the US stock price while the China's iron imports affected BDI positively, confirming the existence of the China effect. Through the changes in the magnitudes of the elasticities, we found that the substantial structural changes have occurred three times: 2007:05, 2008:11 and 2009:03. These three periods reflected the sub-prime mortgage crisis in the US, the global financial crisis initiated by the bankruptcy of Lehman Brothers, and an achievement of the lowest stock price in the US respectively. All the elasticities of three explanatory variables increased unanimously in 2007:05, although the direction of the movements were different in the last two periods. In 2008:11, the effect of global financial crisis dominates the China effect while it reversed in 2009:03.
참고문헌 (13)
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