The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies
AbstractThe cyclical properties of the annual growth of the Baltic Dry Index (BDI) and their implications for short-to-medium term forecasting performance are investigated. We show that the BDI has a cyclical pattern which has been stable except for a period after the 2007 crisis. This pattern has implications for improved forecasting and strategic management on the future path of the BDI. To illustrate the practicality of our results, we perform an investment exercise that depends on the predicted signs. The empirical evidence supports the presence of the cyclical component and the ability of using forecast signs for improved risk management.
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Bibliographic InfoPaper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 65_13.
Date of creation: Dec 2013
Date of revision:
Baltic Dry Index; Commodities; Concordance; Cyclical Analysis; Forecasting; Hedging; Turning Points;
This paper has been announced in the following NEP Reports:
- NEP-ALL-2014-01-10 (All new papers)
- NEP-FOR-2014-01-10 (Forecasting)
- NEP-RMG-2014-01-10 (Risk Management)
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