Lead-Lag Relationships between Import Commodity Prices and Freight Rates

• 발행기관: 한국무역학회
• 저자명: Chi-Yeol Kim Kwang-So Park
• 간행물 정보: 『Journal of Korea Trade (JKT)』Vol.23 No.2, 34~45쪽, 전체 12쪽
• 주제분류: 경제경영 > 무역학
• 파일형태: PDF
• 발행일자: 2019.04.30

영문 초록

Purpose - This study investigates the lead-lag relations between the prices of major commodities imported into Korea and corresponding shipping freight rates. This paper aims to provide implications for cross-market causal relations between related economic segments. Design/Methodology - For economic long-run equilibrium between commodity prices and freights, a Johansen (1988) cointegration test is employed first. Then, Granger (1987) causality tests are performed under the vector error correction model (VECM) framework. Findings - The results indicate that the direction of causality varies by raw materials, which is attributable to different economic mechanisms in the corresponding shipping transportation sectors. In addition, the significance of causality becomes blurred during the post-2008 period. Practical Implication - Corporate managers in commodity trading, steelmaking, power generation, and oil refinery sectors can take advantage of the findings in this study as identifying leading economic indicators can be helpful for decision making in both short- and long-term strategies. Originality/value - This study is the first attempt to analyze the inter-relations between commodity prices and corresponding freight rates focusing on raw material imports of Korea.

목차

1. Introduction

2. Literature Review

3. Methodology

4. Data Description

5. Empirical Results

6. Conclusions

키워드

Commodity Price Freight Rate Lead-Lag Relationship Raw Material Import