{"title":"对冲非流动航线的航次租船费率","authors":"A. G. Mirantes, J. Población, G. Serna","doi":"10.1504/ijstl.2020.10028344","DOIUrl":null,"url":null,"abstract":"Freight prices are heterogeneous, and not all the routes have the same liquidity of spot or futures prices; therefore, sometimes there are problems related to one, or more, route hedges. In this paper, we develop a methodology to hedge the price risk of one route using other routes' futures contracts. The main result of this paper is that we can hedge, with a great fit, the price risk of one route using other routes' futures contracts. The hedging results obtained with our methodology outperform those obtained with standard simple regression procedures.","PeriodicalId":45963,"journal":{"name":"International Journal of Shipping and Transport Logistics","volume":" ","pages":""},"PeriodicalIF":1.4000,"publicationDate":"2020-04-08","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"2","resultStr":"{\"title\":\"Hedging voyage charter rates on illiquid routes\",\"authors\":\"A. G. Mirantes, J. Población, G. Serna\",\"doi\":\"10.1504/ijstl.2020.10028344\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"Freight prices are heterogeneous, and not all the routes have the same liquidity of spot or futures prices; therefore, sometimes there are problems related to one, or more, route hedges. In this paper, we develop a methodology to hedge the price risk of one route using other routes' futures contracts. The main result of this paper is that we can hedge, with a great fit, the price risk of one route using other routes' futures contracts. The hedging results obtained with our methodology outperform those obtained with standard simple regression procedures.\",\"PeriodicalId\":45963,\"journal\":{\"name\":\"International Journal of Shipping and Transport Logistics\",\"volume\":\" \",\"pages\":\"\"},\"PeriodicalIF\":1.4000,\"publicationDate\":\"2020-04-08\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"2\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Journal of Shipping and Transport Logistics\",\"FirstCategoryId\":\"5\",\"ListUrlMain\":\"https://doi.org/10.1504/ijstl.2020.10028344\",\"RegionNum\":4,\"RegionCategory\":\"工程技术\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q3\",\"JCRName\":\"MANAGEMENT\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Journal of Shipping and Transport Logistics","FirstCategoryId":"5","ListUrlMain":"https://doi.org/10.1504/ijstl.2020.10028344","RegionNum":4,"RegionCategory":"工程技术","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q3","JCRName":"MANAGEMENT","Score":null,"Total":0}
Freight prices are heterogeneous, and not all the routes have the same liquidity of spot or futures prices; therefore, sometimes there are problems related to one, or more, route hedges. In this paper, we develop a methodology to hedge the price risk of one route using other routes' futures contracts. The main result of this paper is that we can hedge, with a great fit, the price risk of one route using other routes' futures contracts. The hedging results obtained with our methodology outperform those obtained with standard simple regression procedures.
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