管理评论

管理评论 ›› 2024, Vol. 36 ›› Issue (12): 97-110.

• 经济与金融管理 • 上一篇    下一篇

考虑微观航线的原油运输市场的运费联动和风险溢出

孟斌1,2, 陈水养1, 杨默3, 迟玲玉2, 魏邦国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;
    3. 东北财经大学金融学院, 大连 116025
  • 收稿日期:2022-04-06 出版日期:2024-12-28 发布日期:2025-01-02
  • 作者简介:孟斌,大连海事大学航运经济与管理学院教授,博士生导师,博士;陈水养,大连海事大学航运经济与管理学院博士研究生;杨默(通讯作者),东北财经大学金融学院副教授,博士;迟玲玉,大连海事大学综合交通运输协同创新中心硕士研究生;魏邦国,大连海事大学综合交通运输协同创新中心硕士研究生。
  • 基金资助:
    国家自然科学基金项目(71831002;72174035;72072018);高等学校学科创新引智“111”计划项目(B20082);辽宁省“兴辽英才计划”项目(XLYC2008030);中国博士后科学基金第14批特别资助(站中)项目(2021T140081);中央高校基本科研业务费专项资金项目(3132024702)。

Freight Rate Co-movement and Risk Spillovers in the Dirty Tanker Shipping Market Based on Micro Shipping Routes

Meng Bin1,2, Chen Shuiyang1, Yang Mo3, Chi Lingyu2, Wei Bangguo2   

  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;
    3. School of Finance, Dongbei University of Finance and Economics, Dalian 116025
  • Received:2022-04-06 Online:2024-12-28 Published:2025-01-02

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摘要： 油轮运输市场是国际石油市场的关键延伸，其不确定性与石油市场价格的波动性密切相关。本研究基于微观航线角度标定油轮运输市场，将原油市场、油轮运输市场与石油股票市场置于同一理论框架下，通过GARCH-Copula-CoVaR模型刻画跨市场之间的风险传染路径和底层传染规律，揭示WTI价格、石油公司股价与全球主要油轮航线运费率之间的复杂依赖结构与双向风险溢出效应，为掌握跨市场风险扩散规律、阻断风险传染提供理论参考。结果表明：(1) WTI对航线的上行风险溢出均大于航线对WTI的上行风险溢出，航线距离越远，WTI对航线的上行风险溢出程度越大。(2) WTI对航线的下行风险溢出与船型有关，载重吨位越大的船型，溢出效应越强。(3)石油公司对油轮航线均有明显的上下行风险传染，在下行风险中对航线TD6的溢出程度最大。(4)载重吨位越小，石油公司对航线的下行风险溢出越弱，石油公司对载重吨位较大的航线TD1、TD15、TD6存在较为明显的下行风险溢出。

关键词: 油轮运价, 油轮航线, 石油公司, 风险传染, CoVaR

Abstract: The tanker shipping market is a critical extension of the international oil market, with its uncertainties closely tied to the volatility of oil market prices. This study calibrates the tanker shipping market from a micro-route perspective, situating the crude oil market, tanker shipping market, and oil stock market within the same theoretical framework. Utilizing the GARCH-Copula-CoVaR model, we delineate the risk contagion pathways and underlying transmission mechanisms across these markets, unveiling the complex dependency structures and bidirectional risk spillover effects between WTI prices, oil company stock prices, and freight rates of major global tanker routes. Our findings offer insights into mitigating highly integrated market risks and provide theoretical references for understanding and halting cross-market risk diffusion. The results indicate that: (1) the upward risk spillover from WTI to routes is greater than that from routes to WTI, with longer routes experiencing higher upward risk spillover from WTI; (2) the downward risk spillover from WTI to routes is associated with ship type, with larger deadweight tonnage ships experiencing stronger spillover effects; (3) oil companies exhibit significant bidirectional risk contagion to tanker routes, with the greatest downward risk spillover to route TD6; (4) smaller deadweight tonnage corresponds to weaker downward risk spillover from oil companies to routes, with noticeable downward risk spillover from oil companies to routes TD1, TD15, and TD6 characterized by larger deadweight tonnage.

Key words: tanker freight rates, tanker routes, oil company, risk contagion, CoVaR