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Term Risk Premia in Shipping Markets: Reconciling the Evidence

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  • Graham Wright

Abstract

Past research into the term structure of freight rates has generally proved unsuccessful in its attempts to establish the expectations hypothesis as applicable to shipping markets. Recent work has provided a possible explanation for such failures by identifying time-varying term risk premia in shipping markets. However, one interesting additional result of this work was to identify contradictory attitudes to term risk between shipping and financial markets. This paper reconsiders the theoretical background for such work and, instead of relying on contradictory attitudes to term risk, reconciles the results by developing an alternative approach to the conventional methodology on term structure. © 2007 LSE and the University of Bath

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  • Graham Wright, 2007. "Term Risk Premia in Shipping Markets: Reconciling the Evidence," Journal of Transport Economics and Policy, University of Bath, vol. 41(2), pages 247-256, May.
    • Handle: RePEc:tpe:jtecpo:v:41:y:2007:i:2:p:247-256
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    Cited by:

    1. Ko, Byoung-Wook, 2018. "Dynamic patterns of dry bulk freight spot rates through the lens of a time-varying coefficient model," Transportation Research Part A: Policy and Practice, Elsevier, vol. 118(C), pages 319-330.

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