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Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis

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  • Sebastian Opitz
  • Henry Seidel
  • Alexander Szimayer

Abstract

The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these two risk factors employing a conditional copula model. As conditioning factors we use the supply and demand of seaborne transportation. We find that crisis risk strongly increased already about 1 year before the actual crisis outburst and that the shipping crisis was predominantly driven by an oversupply of transport capacity. Therefore, market participants could have prevented or alleviated the consequences of the crisis by reducing the ordering and financing of new vessels.

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  • Sebastian Opitz & Henry Seidel & Alexander Szimayer, 2018. "Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 33(2), pages 271-289, March.
    • Handle: RePEc:wly:japmet:v:33:y:2018:i:2:p:271-289
    DOI: 10.1002/jae.2609
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    Cited by:

    1. Bai, Xiwen & Lam, Jasmine Siu Lee, 2021. "Freight rate co-movement and risk spillovers in the product tanker shipping market: A copula analysis," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 149(C).

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