The purpose of this paper is to investigate the dynamics of forward freight rate dynamics. We specify our model in a Heath–Jarrow–Morton framework. This model was originally developed for interest rate markets and, in subsequent work, the model has been applied to various commodity markets. We analyse ten years of weekly time charter (TC) rates for a Panamax 65,000 dwt bulk carrier. Our data set consists of 6-, 12- and 36-month TC rates. We use this data to construct, each day, a forward rate function using a smoothing algorithm. We use the smooth data to investigate the factors governing the dynamics of the forward freight rate curve. We find a strange volatility structure in the data. Out results show that the volatility of the forward curve is bumped, with volatility reaching a peak for freight rates with roughly one year to maturity. Also, correlations between different parts of the term structure are in general low and even negative.


    Zugriff

    Zugriff prüfen

    Verfügbarkeit in meiner Bibliothek prüfen

    Bestellung bei Subito €


    Exportieren, teilen und zitieren



    Titel :

    Modelling forward freight rate dynamics—empirical evidence from time charter rates


    Beteiligte:

    Erschienen in:

    Erscheinungsdatum :

    01.10.2004




    Medientyp :

    Aufsatz (Zeitschrift)


    Format :

    Elektronische Ressource


    Sprache :

    Unbekannt





    A study of trip and time charter freight rate indices: 1968–2003

    Goulielmos, Alexandros M. / Psifia, Mariniki | Taylor & Francis Verlag | 2007


    A study of trip and time charter freight rate indices: 1968-2003

    Goulielmos, Alexandros | Online Contents | 2007