管理评论

管理评论 ›› 2025, Vol. 37 ›› Issue (7): 44-55.

• 经济与金融管理 • 上一篇    下一篇

航运市场的便利收益与运费预测

隋聪1,2, 任昭诺1, 张庆庆1, 王文洋1,2, 匡海波1,2   

  1. 1. 大连海事大学航运经济与管理学院, 大连 116026;
    2. 大连海事大学综合交通运输协同创新中心, 大连 116026
  • 收稿日期:2022-04-13 发布日期:2025-07-30
  • 作者简介:隋聪（通讯作者），大连海事大学航运经济与管理学院教授，博士生导师，博士;任昭诺，大连海事大学航运经济与管理学院博士研究生;张庆庆，大连海事大学航运经济与管理学院硕士研究生;王文洋，大连海事大学航运经济与管理学院副教授，博士;匡海波，大连海事大学航运经济与管理学院教授，博士生导师，博士。
  • 基金资助:
    国家自然科学基金面上项目（72371045）。

Convenience Yield in the Shipping Market and Forecasting Freight Rate

Sui Cong1,2, Ren Zhaonuo1, Zhang Qingqing1, Wang Wenyang1,2, Kuang Haibo1,2   

  1. 1. School of Maritime Economics and Management, Dalian Maritime University, Dalian 116026;
    2. Collaborative Innovation Center for Transport Studies, Dalian Maritime University, Dalian 116026
  • Received:2022-04-13 Published:2025-07-30

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摘要： 远期运费协议（FFA）是对冲航运市场风险的重要衍生品。本文以干散货航运市场4种FFA为样本，对航运市场的便利收益进行实证研究。首先，本文构建了包含随机运费和随机便利收益的航运市场的双因子随机模型。实证结果表明，航运市场存在便利收益，且与现货运费存在较强的相关性。其次，本文研究了4种FFA的期限结构。实证结果表明，便利收益的随机变化是形成FFA期限结构的一个主要参数。最后，本文研究了便利收益对现货运费的预测作用。实证结果显示，反映市场新息的便利收益的一阶差分对现货运费有显著的预测作用。航运市场便利收益对研究航运市场价格形成、FFA期限结构特征以及大宗商品与航运跨市场影响都具有重要意义。

关键词: 远期运费协议, 期限结构, 便利收益, 航运市场, 市场预测

Abstract: The Forward Freight Agreement (FFA) is an important derivative for hedging risks in the shipping market. This paper conducts an empirical research on the convenience yield in the shipping market, utilizing four types of FFAs within the dry bulk shipping market as case studies. Firstly, this paper constructs a two-factor stochastic model of the shipping market, including random freight rates and random convenience yields. Empirical results show that there are convenience yields in the shipping market, and they are strongly correlated with spot freight rates. Secondly, this paper examines the term structure of the four types of FFAs. Empirical results indicate that the stochastic variation in convenience yields is a major parameter in forming the term structure of FFAs. Finally, this paper investigates the predictive role of convenience yields on spot freight rates. The empirical findings indicate that the first-order difference in convenience yields, reflecting market expectations, serves as a significant predictor of spot freight rates. The convenience yield in the shipping market is of great significance for studying price formation, FFA term structure characteristics, and cross-market effects between bulk commodities and shipping.

Key words: forward freight agreement, term structure, convenience yield, shipping market, market forecast