The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies

Quantf Research Working Paper Series No. WP10/2014

38 Pages Posted: 21 Jul 2013 Last revised: 2 Jun 2014

See all articles by Fotis Papailias

Fotis Papailias

Quantf Research; University of London, King's College London, Department of Management

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Date Written: July 20, 2013

Abstract

The cyclical properties of the annual growth of the Baltic Dry Index (BDI) and their implications for short-to-medium term forecasting performance are investigated. We show that the BDI has a cyclical pattern which has been stable except for a period after the 2007 crisis. This pattern has implications for improved forecasting and strategic management on the future path of the BDI. To illustrate the practicality of our results, we perform an investment exercise that depends on the predicted signs. The empirical evidence supports the presence of the cyclical component and the ability of using forecast signs for improved risk management.

Keywords: Baltic Dry Index, Commodities, Concordance, Cyclical Analysis, Forecasting, Turning Points

Suggested Citation

Papailias, Fotis and Thomakos, Dimitrios D., The Baltic Dry Index: Cyclicalities, Forecasting and Hedging Strategies (July 20, 2013). Quantf Research Working Paper Series No. WP10/2014. Available at SSRN: https://ssrn.com/abstract=2296358 or http://dx.doi.org/10.2139/ssrn.2296358

Fotis Papailias (Contact Author)

Quantf Research ( email )

London
United Kingdom

HOME PAGE: http://www.quantf.com

University of London, King's College London, Department of Management ( email )

150 Stamford Street
London, SE1 9NN
United Kingdom

Dimitrios D. Thomakos

University of Peloponnese - School of Management, Economics and Informatics ( email )

Department of Economics
22100 Tripolis
Greece
+30 2710 230139 (Fax)

HOME PAGE: http://es.uop.gr/

University of Bologna - Rimini Center for Economic Analysis (RCEA)

Via Patara, 3
Rimini (RN), RN 47900
Italy

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