Authors: Andrés G. Mirantes; Javier Población; Gregorio Serna
Addresses: IES de Candás, Carretera del Faro 17, 33430 Candás, Asturias, Spain ' Banco de España, C/Alcalá 48, 28014, Madrid, Spain ' Facultad de Ciencias Económicas y Empresariales, Universidad de Alcalá, Plaza de la Victoria, 2, 28802 – Alcalá de Henares, Madrid, Spain
Abstract: Freight prices are heterogeneous, and not all the routes have the same liquidity of spot or futures prices; therefore, sometimes there are problems related to one, or more, route hedges. In this paper, we develop a methodology to hedge the price risk of one route using other routes' futures contracts. The main result of this paper is that we can hedge, with a great fit, the price risk of one route using other routes' futures contracts. The hedging results obtained with our methodology outperform those obtained with standard simple regression procedures.
Keywords: freight rate; world scale; WS; hedging methodology; Kalman filter.
International Journal of Shipping and Transport Logistics, 2020 Vol.12 No.3, pp.197 - 211
Received: 21 Nov 2017
Accepted: 19 Dec 2018
Published online: 08 Apr 2020 *