干散货船舶市场的套期保值研究

doi:10.16381/j.cnki.issn1003-207x.2022.1059

Abstract

Abstract:

Due to the significant volatility within the shipping market， the risk management of vessels’ value has long been a focal point for both theoretical analysis and practical application. Ship risk management holds vital importance for participants in the shipping industry. Hedging vessels’ value within the shipping market is studied through the development of Forward Freight Agreement （FFA） portfolios. Specifically， it utilizes the Baltic Dry Index （BDI）， time-charters （TC）， and freight rates for various routes to construct 38 different FFA portfolios through different vessel ages. Using these portfolios， hedging strategies for 12 kinds of ship price spanning three types of bulk carriers and four vessel ages is investigated. The main contributions of our research are as follows Firstly， to leverage the discounted cash flow valuation principle， FFAs are employed as surrogate variables for future freight income， to facilitate the construction of portfolios that reflect the vessels’ value. Portfolio construction employs both direct summation and discounted summation methods， with the latter incorporating the discounted value of freight income. Secondly， both static and dynamic hedging techniques are employed， with dynamic hedging utilizing DCC-GARCH and BEKK-GARCH models. Thirdly， a comparative analysis is conducted between portfolios constructed using the two methods， evaluating their effectiveness in hedging vessels’ value across different vessel types and ages under static and dynamic hedging methods. The main findings of this study are as follows Firstly， in static hedging， longer-term FFA portfolios exhibit superior hedging effectiveness. Secondly， within static hedging， FFA portfolios of TC contracts for Panamax and Supramax vessels demonstrate the most efficient hedging， while C3 and C7 route-based FFA portfolios for Capesize outperform those based on BDI and TC rates. Thirdly， overall， dynamic hedging proves more effective than static hedging， with the discounted summation method outperforming direct summation in dynamic hedging strategies. An effective risk management strategy for market participants are presented such as shipowners， ship leasing companies， and ship insurance companies.

Key words: shipping market, forward freight agreements, vessels value, hedging, shipping derivatives

CLC Number:

F55JEL

Cong Sui, Zhaonuo Ren, Wenlei Shi, Xin Zhao, Wenyang Wang. Study on Hedging of Dry Bulk Ship Market[J]. Chinese Journal of Management Science, 2024, 32(12): 37-48.

Figures/Tables 14

船型	航线（或期租）	简称	FFA期限最长合约	FFA推出时间	FFA组合年限
好望角	图巴朗到青岛	C3	3年（3CAL）	2005年9月	1~3年
	玻利瓦尔至鹿特丹	C7	5年（5CAL）	2005年1月	1~5年
	期租（5条好望角型船航线）	$T C C$	7年（7CAL）	2014年5月	1~7年
巴拿马	巴西圣保罗－青岛	P8	2年（2CAL）	2019年3月	1~2年
巴拿马	期租（5条巴拿马型船航线）	$T C P$	7年（7CAL）	2019年9月	1~7年
超灵便	期租（10条超灵便型船航线）	$T C S$	7年（7CAL）	2016年10月	1~7年
干散货运费指数		BDI	7年（7CAL）	2019年4月	1~7年

船型	航线（或期租）	FFA合约
好望角型	$T C C$	CCURMON、1MON、2MON、3MON、4MON、5MON、CURRQ、1Q、2Q、3Q、4Q、5Q、6Q、1CAL、2CAL、3CAL、4CAL、5CAL、6CAL、7CAL
	C3	CCURMON、1MON、2MON、3MON、4MON、5MON、CURRQ、1Q、2Q、3Q、4Q、1CAL、2CAL、3CAL
	C7	CCURMON、1MON、2MON、3MON、4MON、5MON、CURRQ、1Q、2Q、3Q、4Q、1CAL、2CAL、3CAL、4CAL、5CAL
巴拿马型	$T C P$	CCURMON、1MON、2MON、3MON、4MON、5MON、CURRQ、1Q、2Q、3Q、4Q、5Q、6Q、1CAL、2CAL、3CAL、4CAL、5CAL、6CAL、7CAL
巴拿马型	P8	CCURMON、1MON、2MON、3MON、4MON、5MON、CURRQ、1Q、2Q、3Q、4Q、1CAL、2CAL
超灵便型	$T C S$	CCURMON、1MON、2MON、3MON、4MON、5MON、CURRQ、1Q、2Q、3Q、4Q、1CAL、2CAL、3CAL、4CAL、5CAL、6CAL、7CAL
BDI		CCURMON、1MON、2MON、3MON、4MON、5MON、CURRQ、1Q、2Q、3Q、4Q、1CAL、2CAL、3CAL、4CAL、5CAL、6CAL、7CAL

价格指数	均值	最大值	最小值	标准差	偏度	峰度	ADF
Panel A：BDI的FFA投资组合
$B D I 1 Y$	1.398E-03	0.035	0.110	-0.208	-2.022	10.552	[0.000]
$B D I 2 Y$	8.534E-04	0.020	0.058	-0.100	-1.141	4.024	[0.000]
$B D I 3 Y$	7.208E-04	0.015	0.039	-0.066	-0.909	2.471	[0.000]
$B D I 4 Y$	6.686E-04	0.012	0.030	-0.049	-0.852	2.133	[0.000]
$B D I 5 Y$	6.365E-04	0.010	0.024	-0.041	-0.821	2.044	[0.000]
$B D I 6 Y$	6.057E-04	0.009	0.020	-0.036	-0.791	2.044	[0.000]
$B D I 7 Y$	5.824E-04	0.008	0.018	-0.033	-0.769	2.057	[0.000]
Panel B：二手船价格
$C P 5$	4.782E-04	0.059	-0.020	0.007	3.480	29.253	[0.000]
$C P 10$	3.669E-04	0.070	-0.026	0.009	2.576	18.166	[0.000]
$C P 15$	5.229E-04	0.056	-0.043	0.010	0.120	7.901	[0.000]
$C P 20$	2.971E-04	0.058	-0.084	0.011	-1.661	23.573	[0.000]
$P P 5$	4.625E-04	0.018	-0.026	0.006	-0.270	4.902	[0.000]
$P P 10$	7.555E-04	0.033	-0.030	0.008	0.561	4.460	[0.000]
$P P 15$	1.050E-03	0.038	-0.026	0.009	1.027	5.187	[0.003]
$P P 20$	4.993E-04	0.051	-0.051	0.011	0.208	7.514	[0.000]
$S P 5$	4.675E-04	0.022	-0.023	0.006	-0.053	3.489	[0.000]
$S P 10$	7.956E-04	0.060	-0.023	0.009	1.728	11.295	[0.000]
$S P 15$	9.876E-04	0.052	-0.032	0.010	1.513	8.810	[0.002]
$S P 20$	4.741E-04	0.119	-0.051	0.015	2.772	22.791	[0.000]

价格指数	$B D I 1 Y$	$B D I 2 Y$	$B D I 3 Y$	$B D I 4 Y$	$B D I 5 Y$	$B D I 6 Y$	$B D I 7 Y$
$C P 5$	0.581	0.633	0.684	0.734	0.778	0.815	0.845
$C P 10$	0.698	0.767	0.810	0.846	0.875	0.898	0.914
$C P 15$	0.710	0.778	0.824	0.862	0.892	0.915	0.931
$C P 20$	0.608	0.678	0.729	0.774	0.811	0.840	0.863
$P P 5$	0.650	0.718	0.769	0.815	0.855	0.886	0.910
$P P 10$	0.669	0.740	0.793	0.839	0.877	0.907	0.929
$P P 15$	0.683	0.761	0.812	0.855	0.888	0.913	0.932
$P P 20$	0.705	0.777	0.822	0.859	0.890	0.912	0.927
$S P 5$	0.585	0.656	0.709	0.758	0.799	0.833	0.859
$S P 10$	0.633	0.701	0.751	0.797	0.836	0.867	0.891
$S P 15$	0.609	0.687	0.743	0.793	0.835	0.869	0.895
$S P 20$	0.553	0.624	0.678	0.727	0.770	0.806	0.833

价格指数	5年		10年		15年		20年
价格指数	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率
Panel A: BDI
$B D I 1 Y$	0.153	0.406	0.342	0.600	0.362	0.702	0.356	0.513
$B D I 2 Y$	0.220	0.451	0.488	0.659	0.509	0.751	0.507	0.563
$B D I 3 Y$	0.278	0.474	0.614	0.684	0.637	0.768	0.640	0.587
$B D I 4 Y$	0.340	0.499	0.744	0.708	0.767	0.785	0.778	0.610
$B D I 5 Y$	0.406	0.527	0.878	0.731	0.899	0.801	0.920	0.634
$B D I 6 Y$	0.477	0.553	1.021	0.752	1.040	0.815	1.074	0.656
$B D I 7 Y$	0.553	0.577	1.173	0.770	1.188	0.826	1.238	0.678
Panel B: $T C C$
$T C C 1 Y$	0.179	0.419	0.391	0.597	0.406	0.674	0.404	0.504
$T C C 2 Y$	0.238	0.443	0.524	0.635	0.545	0.719	0.544	0.541
$T C C 3 Y$	0.301	0.459	0.660	0.654	0.685	0.736	0.688	0.561
$T C C 4 Y$	0.372	0.482	0.808	0.675	0.834	0.752	0.844	0.582
$T C C 5 Y$	0.450	0.508	0.966	0.695	0.993	0.766	1.013	0.602
$T C C 6 Y$	0.538	0.533	1.143	0.713	1.170	0.781	1.204	0.625
$T C C 7 Y$	0.634	0.554	1.334	0.729	1.361	0.792	1.414	0.646

价格指数	5年		10年		15年		20年
价格指数	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率
Panel A: BDI
$B D I 1 Y$	0.235	0.533	0.380	0.684	0.456	0.657	0.550	0.563
$B D I 2 Y$	0.339	0.600	0.538	0.738	0.651	0.721	0.786	0.620
$B D I 3 Y$	0.430	0.630	0.675	0.761	0.820	0.748	0.995	0.649
$B D I 4 Y$	0.525	0.663	0.817	0.787	0.992	0.773	1.213	0.681
$B D I 5 Y$	0.626	0.698	0.965	0.813	1.169	0.796	1.442	0.714
$B D I 6 Y$	0.733	0.729	1.122	0.836	1.357	0.816	1.687	0.743
$B D I 7 Y$	0.845	0.753	1.287	0.855	1.556	0.833	1.945	0.767
Panel B: $T C P$
$T C P 1 Y$	0.289	0.633	0.456	0.779	0.558	0.764	0.684	0.662
$T C P 2 Y$	0.382	0.657	0.600	0.801	0.736	0.790	0.902	0.683
$T C P 3 Y$	0.469	0.675	0.734	0.816	0.903	0.809	1.109	0.703
$T C P 4 Y$	0.560	0.703	0.870	0.839	1.071	0.832	1.324	0.733
$T C P 5 Y$	0.654	0.733	1.009	0.862	1.240	0.853	1.547	0.765
$T C P 6 Y$	0.758	0.759	1.161	0.881	1.426	0.870	1.793	0.793
$T C P 7 Y$	0.870	0.778	1.327	0.895	1.629	0.885	2.062	0.816

价格指数	5年		10年		15年		20年
价格指数	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率
Panel A: BDI
$B D I 1 Y$	0.276	0.390	0.393	0.479	0.456	0.466	0.464	0.259
$B D I 2 Y$	0.408	0.459	0.572	0.548	0.668	0.541	0.694	0.312
$B D I 3 Y$	0.522	0.492	0.727	0.580	0.853	0.575	0.902	0.345
$B D I 4 Y$	0.644	0.528	0.890	0.612	1.047	0.611	1.131	0.383
$B D I 5 Y$	0.773	0.566	1.061	0.646	1.252	0.649	1.385	0.426
$B D I 6 Y$	0.914	0.601	1.246	0.677	1.475	0.684	1.667	0.470
$B D I 7 Y$	1.063	0.631	1.441	0.704	1.709	0.714	1.968	0.508
Panel B: $T C S$
$T C S 1 Y$	0.329	0.547	0.457	0.641	0.536	0.638	0.589	0.412
$T C S 2 Y$	0.441	0.579	0.608	0.668	0.716	0.669	0.791	0.438
$T C S 3 Y$	0.544	0.599	0.748	0.687	0.882	0.688	0.983	0.460
$T C S 4 Y$	0.649	0.624	0.889	0.709	1.049	0.713	1.187	0.490
$T C S 5 Y$	0.757	0.653	1.030	0.735	1.219	0.742	1.402	0.527
$T C S 6 Y$	0.864	0.680	1.171	0.758	1.390	0.770	1.625	0.565
$T C S 7 Y$	0.971	0.706	1.310	0.780	1.559	0.796	1.852	0.603

		5年			10年			15年			20年
船型	航线	套保比率	套保效率	组合年限	套保比率	套保效率	组合年限	套保比率	套保效率	组合年限	套保比率	套保效率	组合年限
Panel A：直接累加
好望角型	BDI	0.553	0.577	7	1.173	0.770	7	1.188	0.826	7	1.238	0.678	7
	$T C C$	0.634	0.554	7	1.334	0.729	7	1.361	0.792	7	1.414	0.646	7
	C3	0.543	0.764	2	1.048	0.843	2	0.989	0.784	2	1.649	0.863	4
	C7	0.529	0.736	4	0.865	0.855	2	0.830	0.821	2	1.217	0.911	4
巴拿马型	BDI	0.845	0.753	7	1.287	0.855	7	1.556	0.833	7	1.945	0.767	7
	$T C P$	0.870	0.778	7	1.327	0.895	7	1.629	0.885	7	2.062	0.816	7
	P8	0.663	0.648	1	0.970	0.679	1	1.183	0.673	1	1.586	0.714	1
超灵便型	BDI	1.063	0.631	7	1.441	0.704	7	1.709	0.714	7	1.968	0.508	7
超灵便型	$T C S$	0.971	0.706	7	1.310	0.780	7	1.559	0.796	7	1.852	0.603	7
Panel B：贴现累加
好望角型	BDI	0.291	0.439	4	0.562	0.643	3	0.587	0.734	3	0.478	0.532	2
	$T C C$	0.226	0.425	2	0.602	0.617	3	0.630	0.706	3	0.512	0.512	2
	C3	0.529	0.755	2	1.427	0.851	4	0.984	0.808	2	1.608	0.852	4
	C7	0.514	0.735	4	1.086	0.875	5	0.823	0.839	2	1.162	0.879	4
巴拿马型	BDI	0.573	0.640	6	0.815	0.759	5	0.874	0.722	4	1.344	0.678	6
	$T C P$	0.656	0.729	7	1.020	0.871	7	1.041	0.806	5	1.564	0.773	7
	P8	0.660	0.658	1	0.970	0.695	1	1.177	0.683	1	1.584	0.729	1
超灵便型	BDI	0.611	0.462	5	0.857	0.550	5	1.121	0.569	6	1.220	0.361	6
超灵便型	$T C S$	0.418	0.554	2	0.580	0.646	2	0.928	0.658	4	1.244	0.452	6

价格指数	5年		10年		15年		20年
价格指数	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率
Panel A: BDI
$B D I 1 Y$	0.143	0.626	0.279	0.647	0.310	0.547	0.246	0.548
$B D I 2 Y$	0.201	0.598	0.386	0.622	0.412	0.538	0.469	0.524
$B D I 3 Y$	0.233	0.624	0.462	0.640	0.513	0.560	0.500	0.518
$B D I 4 Y$	0.277	0.638	0.551	0.660	0.624	0.571	0.490	0.530
$B D I 5 Y$	0.302	0.642	0.626	0.657	0.728	0.566	0.497	0.531
$B D I 6 Y$	0.282	0.633	0.664	0.633	0.908	0.520	0.563	0.520
$B D I 7 Y$	0.392	0.638	0.839	0.641	1.076	0.569	0.472	0.529
Panel B: $T C C$
$T C C 1 Y$	0.136	0.587	0.277	0.610	0.330	0.552	0.220	0.496
$T C C 2 Y$	0.131	0.643	0.314	0.675	0.382	0.585	0.288	0.507
$T C C 3 Y$	0.166	0.652	0.392	0.675	0.471	0.602	0.392	0.511
$T C C 4 Y$	0.181	0.653	0.443	0.678	0.549	0.612	0.433	0.512
$T C C 5 Y$	0.247	0.645	0.582	0.665	0.723	0.621	0.425	0.513
$T C C 6 Y$	0.416	0.645	0.821	0.636	0.920	0.643	0.835	0.523
$T C C 7 Y$	0.545	0.651	0.965	0.634	1.042	0.649	0.891	0.551

价格指数	5年		10年		15年		20年
价格指数	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率
Panel A: BDI
$B D I 1 Y$	0.244	0.673	0.316	0.659	0.360	0.624	0.395	0.704
$B D I 2 Y$	0.330	0.652	0.406	0.645	0.479	0.638	0.547	0.706
$B D I 3 Y$	0.391	0.669	0.516	0.658	0.577	0.642	0.653	0.707
$B D I 4 Y$	0.499	0.663	0.614	0.658	0.673	0.637	0.671	0.708
$B D I 5 Y$	0.582	0.663	0.691	0.660	0.794	0.591	0.721	0.707
$B D I 6 Y$	0.644	0.649	0.792	0.605	0.883	0.577	0.879	0.695
$B D I 7 Y$	0.841	0.656	1.016	0.609	1.070	0.573	1.066	0.693
Panel B: $T C P$
$T C P 1 Y$	0.366	0.666	0.502	0.607	0.454	0.641	0.699	0.644
$T C P 2 Y$	0.438	0.655	0.624	0.632	0.565	0.543	0.853	0.649
$T C P 3 Y$	0.493	0.678	0.724	0.646	0.650	0.538	0.963	0.652
$T C P 4 Y$	0.634	0.682	0.896	0.656	0.794	0.538	1.233	0.643
$T C P 5 Y$	0.772	0.700	1.062	0.678	0.938	0.553	1.485	0.652
$T C P 6 Y$	0.974	0.717	1.262	0.701	1.114	0.581	1.680	0.661
$T C P 7 Y$	1.051	0.680	1.394	0.696	1.217	0.589	2.109	0.647

价格指数	5年		10年		15年		20年
价格指数	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率	套保比率	套保效率
Panel A: BDI
$B D I 1 Y$	0.261	0.580	0.337	0.659	0.418	0.622	0.280	0.710
$B D I 2 Y$	0.362	0.629	0.468	0.646	0.572	0.624	0.668	0.588
$B D I 3 Y$	0.370	0.645	0.542	0.663	0.599	0.653	0.636	0.688
$B D I 4 Y$	0.369	0.638	0.604	0.673	0.667	0.647	0.653	0.689
$B D I 5 Y$	0.450	0.592	0.650	0.670	0.729	0.646	0.645	0.684
$B D I 6 Y$	0.493	0.575	0.702	0.646	0.827	0.636	0.693	0.665
$B D I 7 Y$	0.537	0.576	0.856	0.652	0.918	0.661	0.861	0.662
Panel B: $T C S$
$T C S 1 Y$	0.097	0.639	0.162	0.696	0.330	0.652	0.260	0.758
$T C S 2 Y$	0.168	0.595	0.210	0.713	0.403	0.673	0.321	0.747
$T C S 3 Y$	0.142	0.633	0.246	0.684	0.473	0.687	0.336	0.735
$T C S 4 Y$	0.137	0.600	0.259	0.682	0.535	0.689	0.533	0.693
$T C S 5 Y$	0.138	0.606	0.273	0.686	0.607	0.688	0.546	0.699
$T C S 6 Y$	0.026	0.623	0.353	0.689	0.725	0.708	0.712	0.704
$T C S 7 Y$	0.059	0.608	0.491	0.668	0.950	0.690	1.063	0.698

		5年			10年			15年			20年
船型	航线	套保比率	套保效率	组合年限	套保比率	套保效率	组合年限	套保比率	套保效率	组合年限	套保比率	套保效率	组合年限
Panel A：直接累加
好望角型	BDI	0.302	0.642	5	0.551	0.660	4	0.624	0.571	4	0.246	0.548	1
	$T C C$	0.181	0.653	4	0.443	0.678	4	1.042	0.649	7	0.891	0.551	7
	C3	0.567	0.626	2	0.867	0.597	2	0.844	0.632	2	1.112	0.655	3
	C7	0.604	0.627	5	0.700	0.626	2	0.816	0.635	4	0.990	0.674	4
巴拿马型	BDI	0.244	0.673	1	0.691	0.660	5	0.577	0.642	3	0.671	0.708	4
	$T C P$	0.974	0.717	6	1.262	0.701	6	0.454	0.641	1	1.680	0.661	6
	P8	0.382	0.558	1	0.568	0.705	1	0.696	0.584	1	1.032	0.659	1
超灵便型	BDI	0.370	0.645	3	0.604	0.673	4	0.918	0.661	7	0.280	0.710	1
超灵便型	$T C S$	0.097	0.639	1	0.210	0.713	2	0.725	0.708	6	0.260	0.758	1
Panel B：贴现累加
好望角型	BDI	0.223	0.651	6	0.410	0.687	4	0.637	0.585	7	0.658	0.559	7
	$T C C$	0.255	0.654	3	0.669	0.717	7	0.658	0.618	7	0.408	0.581	1
	C3	0.528	0.631	2	0.797	0.605	2	0.772	0.619	2	0.932	0.630	2
	C7	0.331	0.616	5	0.537	0.618	5	0.632	0.633	5	1.638	0.596	4
巴拿马型	BDI	0.521	0.678	7	0.754	0.713	7	0.939	0.659	7	1.275	0.755	7
	$T C P$	0.307	0.746	2	0.936	0.712	7	0.455	0.739	2	1.145	0.702	6
	P8	0.599	0.573	2	0.853	0.664	2	1.170	0.588	2	1.505	0.658	2
超灵便型	BDI	0.598	0.661	7	0.400	0.729	3	0.925	0.693	6	1.437	0.758	7
超灵便型	$T C S$	0.498	0.692	7	0.662	0.754	7	0.762	0.727	7	0.801	0.790	6

		5年			10年			15年			20年
船型	航线	套保比率	套保效率	组合年限	套保比率	套保效率	组合年限	套保比率	套保效率	组合年限	套保比率	套保效率	组合年限
Panel A：直接累加
好望角型	BDI	0.164	0.708	1	0.623	0.722	4	0.854	0.733	7	0.670	0.678	5
	$T C C$	0.429	0.749	5	0.819	0.748	5	1.063	0.750	6	0.926	0.546	7
	C3	0.449	0.663	2	0.722	0.690	2	0.710	0.546	2	0.785	0.597	2
	C7	0.383	0.721	2	1.012	0.758	3	0.802	0.639	3	0.835	0.740	5
巴拿马型	BDI	0.480	0.788	4	0.715	0.764	6	1.009	0.769	6	1.115	0.770	4
	$T C P$	0.513	0.849	4	1.064	0.771	7	0.912	0.838	4	1.013	0.624	5
	P8	0.669	0.616	2	0.913	0.534	2	1.410	0.678	3	1.605	0.556	2
超灵便型	BDI	0.664	0.770	5	0.998	0.759	7	0.935	0.781	4	1.166	0.694	3
超灵便型	$T C S$	0.531	0.797	3	0.750	0.795	4	0.631	0.810	2	1.257	0.746	3
Panel B：贴现累加
好望角型	BDI	0.040	0.662	6	0.146	0.802	7	0.356	0.789	7	0.114	0.699	5
	$T C C$	0.338	0.721	3	0.732	0.731	6	0.543	0.728	2	0.654	0.677	6
	C3	0.534	0.618	3	0.630	0.696	1	0.658	0.581	2	0.622	0.565	1
	C7	0.355	0.703	4	0.774	0.773	2	0.627	0.609	3	0.689	0.657	2
巴拿马型	BDI	0.314	0.832	6	0.625	0.831	7	0.542	0.820	6	0.959	0.813	5
	$T C P$	0.455	0.859	5	0.770	0.822	5	0.488	0.774	1	0.955	0.548	7
	P8	0.751	0.603	2	1.164	0.494	3	1.079	0.598	2	1.643	0.587	2
超灵便型	BDI	0.056	0.839	7	0.561	0.781	4	0.586	0.851	7	0.415	0.767	6
超灵便型	$T C S$	-0.075	0.864	7	0.189	0.809	5	0.409	0.827	6	0.034	0.821	7

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Study on Hedging of Dry Bulk Ship Market

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