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The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies

Author

Listed:
  • Fotis Papailias

    () (Queen's University Management School, UK)

  • Dimitrios D. Thomakos

    () (Department of Economics, University of Peloponnese, Greece; The Rimini Centre for Economic Analysis, Rimini, Italy)

Abstract

The 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.

Suggested Citation

  • Fotis Papailias & Dimitrios D. Thomakos, 2013. "The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies," Working Paper series 65_13, Rimini Centre for Economic Analysis.
  • Handle: RePEc:rim:rimwps:65_13
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    References listed on IDEAS

    as
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    More about this item

    Keywords

    Baltic Dry Index; Commodities; Concordance; Cyclical Analysis; Forecasting; Hedging; Turning Points;

    JEL classification:

    • C5 - Mathematical and Quantitative Methods - - Econometric Modeling
    • R00 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - General - - - General

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