The Expectations Hypothesis of the Term Structure and Risk Premia in Dry Bulk Shipping Freight Markets; An Egarch-M Approach

Journal of Transport Economics and Policy, May 2002, Vol. 36, Part 2, pp. 267-304

Posted: 18 Feb 2014

See all articles by Amir H. Alizadeh

Amir H. Alizadeh

City University London - Sir John Cass Business School

Manolis G. Kavussanos

Athens University of Economics and Business - Department of Accounting and Finance

Date Written: 2002

Abstract

The availability of shipping freight contracts with different duration offers shipowners, operators, and charterers the choice to trade risk and return according to the characteristics that each of these contracts offers on the utility frontier. The aim of this paper is to investigate the expectations hypothesis of the term structure in the formation of period rates, which requires long-term charter rates to be a function of a series of short-term contracts within the life of a long term contract. The paper uses a battery of tests to examine the validity of the expectations hypothesis for a variety of size categories and different length charter rates over the period January 1980 to August 1997.

Suggested Citation

Alizadeh, Amir H. and Kavussanos, Manolis G., The Expectations Hypothesis of the Term Structure and Risk Premia in Dry Bulk Shipping Freight Markets; An Egarch-M Approach (2002). Journal of Transport Economics and Policy, May 2002, Vol. 36, Part 2, pp. 267-304. Available at SSRN: https://ssrn.com/abstract=1435310

Amir H. Alizadeh

City University London - Sir John Cass Business School ( email )

106 Bunhill Row
London, EC1Y 8TZ
United Kingdom

Manolis G. Kavussanos (Contact Author)

Athens University of Economics and Business - Department of Accounting and Finance ( email )

76 Patission St
TK 104 34 Athens
Greece
0030 210 8203167 (Phone)
0030 210 8228816 (Fax)

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