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Determinants of dynamic dependence between the crude oil and tanker freight markets: a mixed-frequency data sampling copula model
journal contributionposted on 2023-05-21, 07:50 authored by Wenming ShiWenming Shi, Gong, Y, Yin, J, Son NguyenSon Nguyen, Liu, Q
Discovering how different oil price shocks influence dynamic dependence between the crude oil and tanker freight markets is vital to ship operators and owners’ responses to different shocks. This study proposes a mixed-frequency data sampling copula model to identify the determinants and analyze their impacts on dynamic dependence between the two markets. Using a dataset covering 2 January 2002 to 30 November 2021, the proposed copula model achieved better goodness-of-fit performance by incorporating the monthly explanatory variables into the dynamic evolution of the daily correlations. As indicated, oil non-supply shocks primarily determined their correlations without considering extreme market conditions, which lasted for approximately 24 months. Additionally, the determinants of the dynamic correlations were oil supply and non-supply shocks in the jointly crashing markets, which were found to be oil non-supply and tanker-specific shocks in the jointly booming markets. Their impacts can last up to six months. These findings enable ship operators and owners to better understand how oil price shocks affect dynamic dependence between the two markets, thus improving their decisions regarding ship chartering, ship selling/purchasing, operating speed, and derivative product investments.
Department/SchoolAustralian Maritime College
PublisherPergamon-Elsevier Science Ltd
Place of publicationThe Boulevard, Langford Lane, Kidlington, Oxford, England, Ox5 1Gb
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