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The Baltic Dry Index: cyclicalities, forecasting and hedging strategies

Research output: Contribution to journalArticle

Fotis Papailias, Dimitrios D. Thomakos, Jiadong Liu

Original languageEnglish
Pages (from-to)255-282
JournalThe Empirical Economics Letters
Volume52
Issue number1
Early online date6 Apr 2016
DOIs
Accepted/In press7 Feb 2016
E-pub ahead of print6 Apr 2016
Published1 Feb 2017

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Abstract

The cyclical properties of the Baltic Dry Index (BDI) and their implications for forecasting performance are investigated. We find that changes in the BDI can lead to permanent shocks to trade of major exporting economies. In our forecasting exercise, we show that commodities and trigonometric regression can lead to improved predictions and then use our forecasting results to perform an investment exercise and to show how they can be used for improved risk management in the freight sector.

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