Integration and Causality in International Freight Markets: Modeling with Error Correction and Directed Acyclic Graphs.
Using directed acyclic graphs (DAGs) and error correction models, we study the dynamics of freight prices that comprise the Baltic Panamax Index (BPI), the index on which freight futures trading was based. The DAGs are used to make statements about the contemporaneous correlations between prices and...
| Publicado en: | Southern Economic Journal Vol. 71; no. 1; pp. 145 - 163 |
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| Autores principales: | , , |
| Formato: | Artículo |
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Wiley-Blackwell
Jul2004
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| Acceso en línea: | Ver este registro en EBSCOhost |
| fields | @attributes: recordID: 1 pdfLink: plink: https://search.ebscohost.com/login.aspx?direct=true&db=ssf&AN=13990094&site=ehost-live header: @attributes: shortDbName: ssf uiTerm: 13990094 longDbName: Social Sciences Full Text (H.W. Wilson) uiTag: AN controlInfo: bkinfo: jinfo: jid: 00384038 SEJ jtl: Southern Economic Journal issn: 00384038 maglogo: N pubinfo: dt: Jul2004 vid: 71 iid: 1 pid: 480 pub: Wiley-Blackwell artinfo: ui: 13990094 10.2307/4135317 ppf: 145 ppct: 18 formats: fmt: @attributes: type: P size: 2.6MB tig: atl: Integration and Causality in International Freight Markets: Modeling with Error Correction and Directed Acyclic Graphs. aug: au: Haigh, Michael S. Nomikos, Nikos K. Bessler, David A. affil: U.S. Commodity Futures Trading Commission, 8010 Three Lafayette Center, 1155 21st Street, NW, Washington DC, 20581 Community College of Rhode Island, Newport Faculty of Finance, Cass Business School, London EC1Y 8TZ, UK Department of Agricultural Economics, Texas A&M University, 349A Blocker Building, College Station, TX 77840 su: Economic models Prices Freight & freightage rates Indexation (Economics) Accounting methods Futures sug: subj: Economic models Prices Freight & freightage rates Indexation (Economics) Accounting methods Futures ab: Using directed acyclic graphs (DAGs) and error correction models, we study the dynamics of freight prices that comprise the Baltic Panamax Index (BPI), the index on which freight futures trading was based. The DAGs are used to make statements about the contemporaneous correlations between prices and allow us to address the construction of the data-determined orthogonalization on contemporaneous innovation covariance, which is crucial in providing inference in innovation accounting techniques. Our results provide a source of information on price discovery and suggest that the index is not appropriately composed and weighted, which may help explain the failure of the Baltic International Freight Futures Exchange (BIFFEX) contract. pubtype: Academic Journal doctype: Article src: R language: English refInfo: copyright: @attributes: flag: N holdings: @attributes: islocal: N |
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