발틱운임의 불편성(不偏性)과 인과성
The Unbiasedness Property and Causality of the Baltic Freight Indices
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건화물선 발틱운임인 파나막스사이즈 운임지수(BPI), 케이프사이즈 운임지수(BCI), 종합운임지수(BDI)들이 상호 불편추정치일 경우 특정 해상운임에 대한 정보를 가지면 다른 해상운임의 변동에 대한 정확한 예측이 가능하게 된다. 그런데 이들 세 가지 운임이 마치 하나의 시계열과 같이 움직이고 있어서 이들 간에 불편추정치 관계가 성립하는가를 밝힌다. 이를 위해 모형의 장기 안정성을 조사하고 오차수정모형을 도출하여 적합한 모형을 선정한다. 선정된 모형을 이용하여 불편추정치 가설을 검정하고 가설이 기각되면 GARCH모형을 도입하여 위험을 분리한 후 불편추정치 가설을 검정한다. 또한 그란저 인과성분성과 분산분해를 통해 BDI에서 BPI로, BDI에서 BCI로, BPI에서 BCI로 인과성이 존재함을 보인다.
Abstract
This paper shows whether a Baltic freight index is the unbiased estimator or predictor of the other freight. That is because the Baltic freights tend to move very closely and seem to be one time series. First, I test for a unit root and then use the GPH procedure to test for long-run stability. The suitable models are chosen based on the significance and sign of error correction terms. The chosen models are estimated and the unbiased estimator hypothesis is tested. The unbiased estimator hypothesis might, however, be violated due to the existence of risk premium. This study, hence, models the conditional variance based on the GARCH specification, showing that the estimates provide some evidence of a nonzero constant risk premia for all freights. The Granger causality test is used to determine the direction of causality. Furthermore I employ the impulse response function to get an information regarding the responses of freight to the shocks in the other Baltic freight and show that the freight responds positively to the shock in the other freight and then decays relatively fast.
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