Freight options: Price modelling and empirical analysis

This paper discusses an extension of the traditional lognormal representation for the risk neutral spot freight rate dynamics to a diffusion model overlaid with jumps of random magnitude and arrival. Then, we develop a valuation framework for options on the average spot freight rate, which are commonly traded in the freight derivatives market. By exploiting the computational efficiency of the proposed pricing scheme, we calibrate the jump diffusion model using market quotes of options on the trip-charter route average Baltic Capesize, Panamax and Supramax Indices. We show that the jump-extended setting yields important model improvements over the basic lognormal setting.     

The dynamics between freight volatility and fleet size growth in dry bulk shipping markets

This paper studies the relationship between the time-varying volatility of dry bulk freight rates and the change of the supply of fleet trading in dry bulk markets. An abundance of research has been done to understand the time-varying characteristics of freight rate volatility, yet few have discussed the determinants of freight volatility. We therefore examine freight volatility against the changes in fleet size and other shipping market variables over January 1973–October 2010. The study employs a two-step model specification. The first step is the measurement of freight rate volatility through an AR-GARCH model; the second step is the analysis of the relationship between freight rate volatility and fleet size growth through a GMM regression. We confirm similar findings in the literature that freight rate volatility is time varying. Furthermore, the results reveal that the change in fleet size positively affects freight rate volatility, while the spot rate volatility of Capesize dry bulk exhibits a stronger reaction to the change in fleet size. The results of this study contribute in a general sense to understanding the systematic risk of shipping markets.     

Seasonality patterns in dry bulk shipping spot and time charter freight rates

This paper investigates the nature of seasonality (deterministic and/or stochastic) in dry bulk freight rates, and measures and compares it across freight rates of different vessel sizes (Capesize, Panamax and Handysize), contract duration (spot, 1-year and 3-year time charters) and market conditions (peaks and troughs). Although, there is no evidence of stochastic seasonality, deterministic seasonality in freight rates is found to be varying from −18.2% to 15.3% in individual months within a year. Spot rates for larger vessels exhibit higher seasonal fluctuations compared to smaller vessels, although differences in seasonal fluctuations between sectors are eliminated as the contract duration increases. Also, for each vessel size, the seasonality declines as the contract duration rises. Asymmetries in seasonal fluctuations in freight rates over different market conditions are attributed to the high and low elasticities of supply expected under the respective market conditions. The results have implications for tactical shipping operations such as timing of dry-docking, chartering strategies and switching between freight markets.     

Liquidity effects and FFA returns in the international shipping derivatives market

The study examines the impact of liquidity risk on freight derivatives returns. The Amihud liquidity ratio and bid–ask spreads are utilized to assess the existence of liquidity risk in the freight derivatives market. Other macroeconomic variables are used to control for market risk. Results indicate that liquidity risk is priced and both liquidity measures have a significant role in determining freight derivatives returns. Consistent with expectations, both liquidity measures are found to have positive and significant effects on the returns of freight derivatives. The results have important implications for modeling freight derivatives, and consequently, for trading and risk management purposes.     

铁路编组站货车集结模式的研究

定点集结和定编集结是当前各国铁路采用的两种编组站货车集结模式。通过建立编组站货车集结的计算机模拟模型,对编组站的货车集结规律和定点集结模式的技术可行性进行了全面、深入、细致的研究。研究表明,编组站采用定点集结模式,可为铁路货物运输实现时刻表制度,为建立快速货物运输体系提供有力保证。     

Pricing freight rate options

In this paper we set up the theoretical framework for the valuation of the Asian-style options traded in the freight derivatives market. Assuming lognormal spot freight dynamics, we show that Forward Freight Agreements (FFA) are also lognormal prior to the settlement period, but that this lognormality subsequently breaks down. We suggest approximate dynamics in the settlement period for the FFA that leads to closed-form option pricing formulas for Asian call and put options written on the spot freight rate indices in the Black [Black, F., 1976. The pricing of commodity contracts. Journal of Financial Economics 3, 167–179] framework. In a Monte Carlo experiment we show that our formula gives very accurate prices, in particular for forward-starting freight options.     

An equilibrium price model of spot and forward shipping freight markets

We focus on non-storability, a characteristic of shipping freight that leads to an enormous gap between the widely-used no-arbitrage pricing theory and shipping freight derivative markets. Our main contribution is to modify and generalize the Bessembinder and Lemmon (2002) model. Equilibrium spot and forward price formulae are derived in a shipping freight market where shipowners, charterers, and speculators are non-homogeneous. From our formulae, we also obtain the properties of the forward risk premium and an optimal hedge ratio. In addition, we use the model to quantify the risk attitude of market participants.     

完善铁路分局收入清算指标的探讨

通过对洛阳铁路分局现行收入清算办法进行分析,指出现行清算办法存在的不足:铁路分局实施货运局界管直清算不符合市场经济分配原则;铁路分局模拟区域运价定价系数难以真正公平合理;局管内跨分局货运机车牵引服务缺乏收入补偿等。并提出对现行分账核算的运输进款清算办法进行修正、完善和补充的建议,以充分调动铁路分局参与市场竞争的积极性。     

Measuring connectivity in the air freight industry

In this paper, we present an air transport connectivity model for air freight. For the purposes of this paper, connectivity is defined as all possible direct and indirect connections to or from an airport operated by wide-body aircraft, weighted for the quality of the connection in terms of transhipment and in-flight times. Using this model, we analyse the networks of seven European airports. Europe’s largest hub airports carry most air freight thanks to their extensive intercontinental passenger networks, while smaller airports with a strong focus on air freight carry large amounts of cargo on dedicated freighter aircraft. For air freight operations, the catchment area of an airport is much larger than it is for passenger services, as shipments are being trucked to their departure airport throughout all of mainland Europe. Since there are many airports sharing the same catchment area, potential competition for air freight is fierce. We found that well located regions between the four large European airports have access to large air freight networks, whilst regional air freight connectivity in northern and southern parts of Europe is substantially lower.     

Does quality pay? The case of the dry bulk market

Following important changes in the safety regulation of tankers, the dry bulk sector is coming under the spotlight in a safety and quality perspective. Nominal freight differentiation between ‘quality’ and ‘other’ tonnage has been observed occasionally and much lip service has been paid to promoting the need for younger and safer ships. Whether or not these signals actually manifest in a market initiative for the enhancement of the standards of the world bulk carrier fleet is debatable. This paper investigates the possible existence of a two-tier spot freight market for medium and large bulk carriers of differing age. Known voyage fixtures are investigated for four representative years since the end of the 1980s, during which contrasting freight market conditions prevailed. In all but very few cases, there was no statistically significant difference between rates paid to older and younger tonnage. In those few cases where such differences were statistically significant, they never exceeded 10%.     

中国铁路货运市场占有率发展趋势分析

分析中国铁路货运的发展形势,建立关于铁路、公路货运量在全社会货运量中所占市场份额的差分方程组模型,运算后得出铁路货运在整个货运市场中的占有率趋向。通过利用历史统计数据计算,得到铁路货运市场占有率的一个数值解。     

Segmenting industrial competitive markets: An example from air freight

This paper applies a disaggregated approach to segment industrial markets under competitive structures taking the air-freight market for the high-technology product industry in Taiwan as a case study. Data from firms is used to examine the structure of the air freight industry and we find that carriers are clustered into two strategic groups, express and forwarder. Pricing is a leading strategy recognized by customers for forwarders, whereas service punctuality and freight security are the winning strategies for express. The high-tech freight market is classifiable by shipment destination and size.     

Urban spatial structure,employment subcenters,and freight travel

Metropolitan areas in the U.S. have become increasingly polycentric. Large employment subcenters have emerged outside of central cities, competing against the traditional city center for labor and businesses. The existing literature on land use and transportation focuses on passenger travel, providing little insight into the impact of polycentric metropolitan development patterns on freight activity. In this study, we use the Los Angeles region as a case study to examine the relationship between urban spatial development patterns and freight travel. Using the National Employment Time Series (NETS) data, we identify employment subcenters in metropolitan Los Angeles. We characterize freight activities associated with the subcenters using data from the Southern California Association of Governments (SCAG). We develop a regression model that estimates freight activity as a function of geographic characteristics, such as whether a location is in an employment subcenter, measures of nearby employment, access to the highway network, and proximity to intermodal freight facilities. The results indicate that employment is an important driver of freight activity; however, employment subcenters have an independent effect on freight activity. The results of this study suggest that further research on urban spatial structure and freight activity should assess the effects of employment subcenters and how their particular employment composition and characteristics are associated with freight activities at the metropolitan level. Such an approach would lead to more precise policy recommendations for urban goods movement.     

Vessel and voyage determinants of tanker freight rates and contract times

The behavior of shipping freight (charter) rates and the timing of shipping contracts affect the transportation costs of charterers and the operating cash flows of shipowners. Although the literature has established macroeconomic determinants of shipping freight rates, there has been no systematic investigation of microeconomic determinants of freight rates and the delivery time of chartered ships (the laycan period) in the tanker market. Therefore, the aim of this paper is to investigate the importance of vessel and contract specific factors in the determination of tanker freight rates and laycan periods in shipping contracts. Individual tanker shipping contracts from January 2006 to March 2009 are used to estimate freight rates and laycan periods using a system of simultaneous equations. The estimation results suggest that the duration of the laycan period is an important determinant of the shipping freight rate and vice versa. Other determinants of freight rates include the vessel's hull type, fixture deadweight utilization ratio, vessel age, and voyage routes. Determinants of the laycan period include the former determinants as well as the Baltic Dirty Tanker Index and its volatility.     

The geography of air freight: connections to U.S. metropolitan economies

Despite the rapid growth of air freight shipments, much of the existing literature on the geography of air transportation has paid more attention to passenger travel than air freight. The purpose of this paper is to elevate our understanding of air freight by determining which specific variables most influence and shape the geographic distribution of air freight by metropolitan area using stepwise regression analysis. The empirical results suggest a regression model of five independent variables was the most parsimonious solution where the final model accounted for 71.1% of the variation in air freight shipments by metropolitan area (MA). The most important predictor was the traffic shadow effect, where less populated MAs under the traffic shadow of larger MAs tended to generate lower levels of freight. The model also suggested that other key predictors included the employment market share in transportation-shipping-logistics industries, per capita personal income, the number of medical diagnostic and supplier establishments, and above average wages in high technology. Overall, metropolitan markets with diverse and efficient ground support systems, freight forwarders and other transportation services, a more affluent population, an intense agglomeration of medical laboratories and related suppliers, and a well paid skilled workforce engaged in computer systems design and electronic product manufacturing are more likely to ship freight by air.     

Making or breaking - Key success factors in the air cargo market

This introductory paper considers a number of major evolutions in the air freight market. In the first instance, it describes the heterogeneous environment in which air cargo services are performed. Subsequently, it looks at some of the most notable developments in air freight. Lastly, it deals with the market structure and with possible future strategies.     

Sustainable transport: analysis frameworks

For both passenger and freight transport, this paper presents analysis frameworks illustrating the interaction of factors that influence indicators of transport sustainability; identifies opportunities for policy intervention; and illustrates the possibility of unintended consequences of such intervention and the tradeoffs among the indicators. The frameworks account for systematic relationships, feedbacks, and rebound effects of making changes to the system. For passenger transport, physical, psychological, and social needs present themselves as primary influencers of sustainable transportation indicators. For freight, market forces and government policy are primary influencers of variables that are predominantly of an economic nature. Questions for future research are presented.     

The relative importance of factors that influence the break-even distance of intermodal freight transport systems

The break-even distance of an intermodal freight system is a crucial piece of information for shippers as they decide whether to choose a specific freight transport system. It is also important for policy makers who want to demonstrate to shippers that the intermodal system is substantially more beneficial over a certain distance and encourage shippers to use it. However, the break-even distance is highly dependent on market situations. In other words, it is not possible to estimate the definitive break-even distance that is generally applicable. To date, the literature has addressed factors, including costs and distances, that impact the break-even distance without considering the relative importance of each of these factors. This study attempts to address this gap in knowledge by evaluating the relative importance of geometric and cost factors. The former includes drayage distances (i.e., pre- and post-haulage by trucks), truck-only distance, rail distance, the shape of the market area, and the terminal location, while the latter includes the drayage truck rate, the long-distance truck rate, the rail rate, and the terminal handling rate. Finally, by developing a Monte Carlo-based simulation model, the relative importance can be evaluated. The key finding is that the geometric factors and terminal handling costs are not more significant than the transport costs (i.e., rail costs and long-distance trucking costs) in general. Specifically, to shorten the break-even distance, either reducing the rail rate or increasing the truck rate is the most effective strategy. A 1% change in these factors is almost seven times, three times, and twice as effective as a 1% change in the handling costs at terminals, rail distance, and drayage cost, respectively. Furthermore, neither the oval-shaped market area nor a terminal relocation attracts customers to intermodal systems in general. When two options are combined, the synergic effect is significant.     

Capacity retirement in the dry bulk market: A vessel based logit model

The paper investigates the effect of vessel specific and market variables on the probability of scrapping dry bulk ships. Using a dataset from 2012 to 2015, we find that the probability of scrapping increases with age, but that the relation between vessel size and scrapping probability varies across the different segments. In addition, while the relation between earnings and probability of scrapping ships is negative, bunker prices seem to affect only the scrapping rate of smaller tonnage. Scrapping probability also increases with an increase in interest rates, freight market volatility and scrap steel prices.     

我国铁路快捷货运发展的问题与建议

铁路发展快捷货运既是社会经济发展的必然要求,也是铁路行业积极参与市场竞争的客观需要.从快捷货运的含义、服务对象和特征出发,定义铁路快捷货运的基本内涵,并在系统分析铁路快捷货运发展现状和存在问题的基础上,提出推进铁路快捷货运发展的相关建议.