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A co-integration approach to forecasting container carriers’ time charter rates

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Abstract

A vector autoregressive model was developed for a sample of container carrier time charter rates. Although the series of time charter rates are themselves found non-stationary, thus precluding the use of many modeling methodologies, evidence provided by co-integration tests points to the existence of stable long-term relationships between the series. An assessment of the forecasts derived from the model suggests that the specification of these long-term relationships does not improve the accuracy of long-term forecasts. These results are interpreted as a corroboration of the efficient market hypothesis.

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Authors and Affiliations

  1. School of Naval Architecture, Ocean & Civil Engineering, Shanghai Jiaotong University, Shanghai, 200030, China

    Fei-er Chen  (陈飞儿) & Ren-yi Zhang  (张仁颐)

Authors
  1. Fei-er Chen  (陈飞儿)
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  2. Ren-yi Zhang  (张仁颐)
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Correspondence to Fei-er Chen  (陈飞儿).

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Chen, Fe., Zhang, Ry. A co-integration approach to forecasting container carriers’ time charter rates. J. Shanghai Jiaotong Univ. (Sci.) 13, 343–347 (2008). https://doi.org/10.1007/s12204-008-0343-x

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  • DOI: https://doi.org/10.1007/s12204-008-0343-x

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