船舶價格與運費波動之關聯分析

Abstract

本研究首先藉由Hedonic函數方法來建構綜合船價指數，以克服資料不對稱問題。之後，再以VAR模型來探討不定期海運市場中各價格波動間之關聯。本研究經由共整合分析發現：新造船、二手船、報廢船及貨運市場之價格波動，確實呈現環環相扣之連動關係，並且是一穩定之長期均衡關係。短期上，前期報廢船價波動，將可作為新造船與二手船價之先期變動指標。然面對市場價格體系之短期失衡時，貨運市場之調整最敏感，而新造船則較遲緩。另外，報廢船價波動干擾對二手船價之衝擊影響最直接且快速；相對的，運費波動干擾對二手船價之衝擊影響卻較溫和但深遠。另外，運費水準則受來自二手船價波動之衝擊影響最大。而報廢船舶價格之衝擊反應，主要是受來自貨運市場之價格波動影響。最後，新造船價之波動反應主要是反應影響造船成本之鋼鐵價格變動，所以其受報廢船價格波動之衝擊影響最大。

In order to solve the problem of asymmetric data, this study has firstly applied Hedonic function to construct a set of comparable ship price indices. A vector autoregressive (VAR) model is then formulated to investigate the relationship between the price fluctuations of shipbuilding, secondhand ship, scrapping ship and freight markets in the international tramp shipping industry. By utilizing the co-integration analysis, this study suggests that the price fluctuations from the four aforementioned markets are closely interdependent and show a stable long-term equilibrium relationship. In the short term, the previous price fluctuation of scrapping ship market could be viewed as an indicator for the price fluctuations of both new shipbuilding and secondhand ship markets. When the market price structure shows temporary disequilibria, the freight market has the most sensitive adjustment, different from the new shipbuilding market that reacts in fairly sluggish. In responding to the price shock of scrapping ship market, the price adjustment of secondhand ship market is strong and quick; however, when triggered by the price shock of freight market, its price adjustment is moderate and can last for a long while. In addition, the price shock of secondhand ship market plays a crucial role to trigger the impulse response of freight market. The price adjustment of scrapping market is mainly caused by the price shock of freight market. In reflection with the concern of the steel cost on shipbuilding, the price shock of scrapping ship market has the largest impact on the price adjustment of shipbuilding market.