基于复杂网络的国际油轮运价波动传导特征

    Conductivity characteristic of international tanker rate fluctuations based on complex networks

    • 摘要: 运用复杂网络理论和格兰杰因果检验方法,构建国际油轮运价波动风险传导网络。通过网络拓扑结构的动态演化分析,探究了两大危机事件对油轮市场各细分航线之间运价波动风险溢出效应的影响。研究发现,危机事件对油轮运价波动网络结构具有显著影响,金融危机发生后,各细分航线间运价联动效应显著增强,系统性风险水平上升。然而新冠病毒感染疫情防控发生后,整个油轮市场的运价联动风险下降,各细分船型运价风险溢出效应减弱。同时,依据网络社团划分,灵便型船市场对其他细分市场具有持续风险溢出效应,而超大型油轮在金融危机后成为风险源头,而阿芙拉型船则在新冠病毒感染疫情防控后变化为主要风险溢出源头。研究有助于更深入地理解油轮运输市场各细分市场间的风险传导规律。

       

      Abstract: Complex network theory and Granger causality test are applied to construct the risk transmission network of international tanker freight rate volatility.Through the dynamic evolution analysis of the network topology,the impact of two major crisis events on the risk spillover effect of freight rate volatility among the segmented routes in the tanker market is investigated.It is found that the crisis events have a significant impact on the network structure of tanker tariff volatility,and after the financial crisis,the tariff linkage effect among the segmented routes is significantly enhanced,and the systematic risk level rises.However,after the outbreak of the epidemic,the tariff linkage risk of the whole tanker market declined,and the tariff risk spillover effect of each segmented ship type weakened.Meanwhile,based on network associations,the Handy-size market has sustained risk spillover effects on other segments,while VLCCs became a source of risk after the financial crisis,and Aframaxes changed to a major source of risk spillover after the epidemic.The findings of the study contribute to a deeper understanding of the patterns of risk transmission between segments of the tanker transportation market.

       

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