In the current paper, we examine the existence of possible threshold relationships in the commodity price – freight rate nexus, under or over which the relationship between the two changes. Using the first lag of the commodity price change as the threshold variable, we find that, in the case...

This paper examines the existence of dynamic volatility spillovers within and between the dry-bulk and tanker freight markets by employing the multivariate DCC-GARCH model and the volatility spillover index developed by Diebold & Yilmaz (2009, 2012). This methodology is invariant to ordering the...

We explore, for the first time in the literature, how the revenues of ship management companies respond to macroeconomic exogenous shocks. Using data for ship-management companies in Cyprus, we find evidence that a demand shock has the largest impact on revenues, exhibiting an almost one-for-one...

We employ a cointegration setup to explore route-specific off-equilibrium deviations related to Covid-19 that have affected clean (petroleum products) and dirty (crude oil) tanker freight rates, over and above the expected macroeconomic reactions. We find that the additional deviation caused by...

This paper investigates whether dynamic volatility spillovers across shipping freight markets can be explained by a comprehensive set of indicators capturing shipping investors’ sentiment. The results of this study reveal that an increase of the ratio of second-hand vessel price over...

This paper studies the behaviour of shipping investors following an unexpected shock in the freight rates, while accounting for costs (fuel), and the macro environment (stock prices and trade). The estimates firstly confirm the existence of a long-term relationship between the macroeconomic...

This paper studies the behaviour of shipping investors following an unexpected shock in the freight rates, while accounting for costs (fuel), and the macro environment (stock prices and trade). The estimates firstly confirm the existence of a long-term relationship between the macroeconomic...

The purpose of this article is to analize freight transportation rates in Brazil. The broad database available allows a detailed investigation by mode, type of cargo, distance and market segment. The results confirm the theoretical references revisited in terms of the spectrum of variation found...

We employ a Bayesian Vector Autoregressive methodology, to counter the issue of data availability, and explore the relationship between seaborne commodity trade and freight rates. Our results show three important insights: first and foremost, the quantity of seaborne commodity trade has a strong...