关键词: 干散货运输, 大宗商品市场, 航运运费, 溢出效应, 航运市场

Abstract:

The commodity market and shipping market are two vital components of the modern global economy， reflecting the allocation of goods and logistics resources. Shipping accounts for over 90% of global cargo transportation， while commodities provide the material foundation for global economic activities. Their interconnectedness forms a cornerstone for global economic and international trade stability. However， recent major events such as pandemics and geopolitical crises have caused significant fluctuations in commodity prices， leading to cyclical fluctuations in the shipping market， destabilizing this cornerstone. There is an urgent need to comprehensively examine the micro-level linkage mechanisms and dynamic information spillover effects between the commodity market and dry bulk shipping market. This involves studying the interdependencies between commodity markets and shipping markets at multiple scales and exploring the underlying factors contributing to the instability of the shipping-commodity cornerstone. It focuses on 12 types of dry bulk charter rates， including those for Capesize and Panamax vessels for 6-month， 1-year， and 3-year periods， as well as rates for trans-Pacific， trans-Atlantic， and Far East to Europe routes. It also examines 6 categories of metal/non-metal ores （including iron ore， copper， aluminum， lead， zinc， and coal） and 8 categories of agricultural products （wheat， soybeans， corn， cotton， cocoa， sugar， rice， and coffee） using weekly data from December 18， 2009， to September 10， 2021. In-depth analysis of the dynamic dependency relationships and time-frequency information spillover between dry bulk shipping and commodity markets is conducted. The study employs Continuous Wavelet Transform （CWT） to reveal the time-frequency dependency and potential lead-lag relationships between the two markets. Additionally， a two-stage time-frequency overflow index model is constructed， Maximum Overlap Discrete Wavelet Transform-DY （MODWT-DY）， to characterize the multiscale dynamic information spillover effects of the two markets.Empirical results demonstrate that there exists a strong time-frequency dependency relationship between dry bulk shipping and metal/non-metal ores， characterized by high-frequency complexity， mid-frequency crisis correlation， and low-frequency long-term stability. Agricultural products show more high-frequency dependency relationships due to factors such as climate uncertainty and their perishable nature. Aluminum dominates the three charter rates and plays a significant role in price discovery. At low-frequency scales， aluminum， copper， coal， and zinc exhibit price discovery functions for dry bulk charter rates. All charter rates demonstrate a price discovery function for iron ore， with this dependency relationship experiencing superimposed and spreading effects amid events like the US-China trade war and pandemics. These research findings hold significant implications for governments seeking to enhance global resource allocation capabilities and increase the price influence of important commodities， thus promoting a new development pattern of “dual circulation”. They also provide important references for market investors and risk managers in assessing price and risk trends and can guide market operations for shipowners.

Key words: dry bulk shipping, commodity market, shipping freight rate, spillover effect, shipping market