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Nexus Between Baltic Dry Index and Oil Price: New Evidence from Linear and Nonlinear ARDL Approaches

Author

Listed:
  • Tien-Thinh Nguyen

    (Faculty of Logistics—International Trade, Hoa Sen University, Ho Chi Minh City 700000, Vietnam)

  • Tram Thi Hoai Vo

    (College of Business, Southern Taiwan University of Science and Technology, Tainan 710301, Taiwan)

  • Ngochien Bui

    (Department of International Business, National Kaohsiung University of Science and Technology, Kaohsiung City 807618, Taiwan)

  • Jen-Yao Lee

    (Department of International Business, National Kaohsiung University of Science and Technology, Kaohsiung City 807618, Taiwan)

Abstract

Given the context of the COVID-19 pandemic disrupting global logistics, coupled with the Russia–Ukraine war causing global energy price changes, examining both the linear and nonlinear associations between shipping cost and oil price is crucial in a global context. This study empirically exhibits the association among Global Commodity Prices Index (GPI), Oil Price (OP), Gold Future Price (GFP), and Baltic Dry Index (BDI) by employing Linear Autoregressive Distributive Lag (ARDL) as well as Nonlinear Autoregressive Distributive Lag (Nonlinear ARDL) from January 2003 to January 2023. The findings indicate that the influence of OP on BDI has a negative impact in the long run and a positive impact in the short run. Furthermore, the OP has an asymmetric effect on BDI in both the long and short terms. Finally, the predictive performance of the NARDL model outperforms the ARDL model in forecasting OP and BDI. The empirical findings derived from the ARDL and NARDL algorithms offer valuable insights for policymakers in designing public policies and for investors in portfolio construction.

Suggested Citation

  • Tien-Thinh Nguyen & Tram Thi Hoai Vo & Ngochien Bui & Jen-Yao Lee, 2026. "Nexus Between Baltic Dry Index and Oil Price: New Evidence from Linear and Nonlinear ARDL Approaches," Economies, MDPI, vol. 14(3), pages 1-20, March.
    • Handle: RePEc:gam:jecomi:v:14:y:2026:i:3:p:86-:d:1889652
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