Asymmetric causality from commodity prices to shipping markets: an empirical research on ISTFIX region Online publication date: Tue, 07-Apr-2020
by Abdullah Açık; Sadık Özlen Başer
World Review of Intermodal Transportation Research (WRITR), Vol. 9, No. 1, 2020
Abstract: Dry bulk shipping is influenced mainly by demand for commodities due to its derived demand structure. As one of the main determinants of the commodity demand is the price, interactions between commodity prices and freight rates are inevitable. However, the relevant literature is limited and information asymmetry is not taken into account. The aim of this study is to examine the asymmetric causality from the prices of the commodities mostly transported in Istanbul Freight Index (ISTFIX) region to the freight rates by method developed by Hatemi-J (2012a). The dataset consists of 122 monthly observations covering the dates between January 2008 and February 2018. The results reveal that positive and negative shocks in coal and steel prices are symmetrically causes of the positive and negative shocks in ISTFIX while negative shocks in wheat prices are cause of positive shocks in the index, and positive shocks in the commodity are the causes of negative shocks in the index.
Existing subscribers:
Go to Inderscience Online Journals to access the Full Text of this article.
If you are not a subscriber and you just want to read the full contents of this article, buy online access here.Complimentary Subscribers, Editors or Members of the Editorial Board of the World Review of Intermodal Transportation Research (WRITR):
Login with your Inderscience username and password:
Want to subscribe?
A subscription gives you complete access to all articles in the current issue, as well as to all articles in the previous three years (where applicable). See our Orders page to subscribe.
If you still need assistance, please email subs@inderscience.com