Title: Asymmetric price adjustments in the Shanghai Containerized Freight Index: evidence from a nonlinear autoregressive distributed lag model

Authors: Byungchul Yu; Sung-Ho Shin; Young-Jin Ro

Addresses: Department of International Trade, Dong-A University, Busan, South Korea ' Department of International Trade, Dong-A University, Busan, South Korea ' Department of International Trade, Dong-A University, Busan, South Korea

Abstract: In this study, we empirically investigate price adjustments in the Shanghai Containerized Freight Index (SCFI) using the nonlinear autoregressive distributed lag (NARDL) model. Using monthly data from January 2014 to February 2020, this study constructed a price equation for the SCFI with bunker price and container fleet as a supply shock and container volume as a demand shock and estimated the model by applying the NARDL model. Our empirical results can be summarised as follows: first, there is strong evidence of long-run asymmetry of the freight rate to supply and demand shocks. Second, the SCFI responds more sensitively to a positive supply shock of bunker price and a negative shock of container fleet than to other cases. Lastly, supply shock of container fleet is the most crucial factor in determining the freight price in the long run. Our results suggest that the asymmetric adjustment of maritime freight should be considered when analysing the container shipping market.

Keywords: Shanghai Containerized Freight Index; SCFI; nonlinear autoregressive distributed lag model; NARDL; container shipping; bunker price; container throughput; container fleet.

DOI: 10.1504/IJSTL.2023.132652

International Journal of Shipping and Transport Logistics, 2023 Vol.17 No.1/2, pp.60 - 79

Received: 01 Apr 2021
Accepted: 15 Dec 2021
Published online: 07 Aug 2023 *

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