The Baltic Dry Index: cyclicalities, forecasting and hedging strategies

TY - JOUR

T1 - The Baltic Dry Index

T2 - cyclicalities, forecasting and hedging strategies

AU - Papailias, Fotis

AU - Thomakos, Dimitrios D.

AU - Liu, Jiadong

PY - 2017/2/1

Y1 - 2017/2/1

N2 - 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.

AB - 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.

U2 - 10.1007/s00181-016-1081-9

DO - 10.1007/s00181-016-1081-9

M3 - Article

SN - 0377-7332

VL - 52

SP - 255

EP - 282

JO - The Empirical Economics Letters

JF - The Empirical Economics Letters

IS - 1

ER -