A co-integration approach to forecasting container carriers’ time charter rates |
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Authors: | Fei-er Chen Ren-yi Zhang |
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Institution: | School of Naval Architecture, Ocean & Civil Engineering, Shanghai Jiaotong University, Shanghai 200030, China |
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Abstract: | A vector autoregressive model was developed for a sample of container carrier time charter rates.Although the series of time charter rates are themselves found non-stationary, thus precluding the use of manymodeling methodologies, evidence provided by co-integration tests points to the existence of stable long-termrelationships between the series. An assessment of the forecasts derived from the model suggests that the spec-ification of these long-term relationships does not improve the accuracy of long-term forecasts. These resultsare interpreted as a corroboration of the efficient market hypothesis. |
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Keywords: | co-integration forecast container carrier time charter rate |
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