IDEAS home Printed from https://ideas.repec.org/a/pal/marecl/v5y2003i3p227-250.html

Time Varying Risks Among Segments of the Tanker Freight Markets

Author

Listed:
  • Manolis G Kavussanos

    (Athens University of Economics and Business, 76 Patission St, 10434, Athens, Greece.)

Abstract

The aim of this paper is to investigate the relative risks involved in owning and operating tanker vessels of different sizes in world spot and time-charter (TC) markets. Cointegrating Error Correction ARCH models are used to model spot and TC rates for each ship size and the associated time varying risks involved. The advantage of using this class of models for analysis is that the error correction term can capture the short-run dynamic behaviour of rates, while the estimation of time varying volatilities allows for the explicit comparison of risks at each point in time. Indeed, levels and patterns of freight risk are shown to vary over time. Broadly, comparison of these risks across markets point to TC rates having lower volatilities in comparison to the spot rates, and freight rates of larger vessels having higher volatilities compared to the freight volatilities of smaller vessels. Thus, for risk averse owners, wishing to reduce risks, results suggest operating tanker ships in TC rather than spot markets, and using smaller size vessels to diversify the higher risks involved in owning and operating larger size vessels. Maritime Economics & Logistics (2003) 5, 227–250. doi:10.1057/palgrave.mel.9100079

Suggested Citation

  • Manolis G Kavussanos, 2003. "Time Varying Risks Among Segments of the Tanker Freight Markets," Maritime Economics & Logistics, Palgrave Macmillan;International Association of Maritime Economists (IAME), vol. 5(3), pages 227-250, September.
    • Handle: RePEc:pal:marecl:v:5:y:2003:i:3:p:227-250
    as

    Download full text from publisher

    File URL: http://www.palgrave-journals.com/mel/journal/v5/n3/pdf/9100079a.pdf
    File Function: Link to full text PDF
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: http://www.palgrave-journals.com/mel/journal/v5/n3/full/9100079a.html
    File Function: Link to full text HTML
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to

    for a different version of it.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:pal:marecl:v:5:y:2003:i:3:p:227-250. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sonal Shukla or Springer Nature Abstracting and Indexing (email available below). General contact details of provider: http://www.palgrave-journals.com/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.