Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis

Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these two risk factors employing a conditional copula model. As conditioning factors we use the supply and demand of seaborne transportation. We find that crisis risk strongly increased already about 1 year before the actual crisis outburst and that the shipping crisis was predominantly driven by an oversupply of transport capacity. Therefore, market participants could have prevented or alleviated the consequences of the crisis by reducing the ordering and financing of new vessels. http://www.deepdyve.com/assets/images/DeepDyve-Logo-lg.png Journal of Applied Econometrics Wiley

Measuring crisis risk using conditional copulas: An empirical analysis of the 2008 shipping crisis

Journal of Applied Econometrics , Volume 33 (2) – Jan 1, 2018

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Publisher
Wiley
Copyright
Copyright © 2018 John Wiley & Sons, Ltd.
ISSN
0883-7252
eISSN
1099-1255
D.O.I.
10.1002/jae.2609
Publisher site
See Article on Publisher Site

Abstract

The shipping crisis starting in 2008 was characterized by sharply decreasing freight rates and sharply increasing financing costs. We analyze the dependence structure of these two risk factors employing a conditional copula model. As conditioning factors we use the supply and demand of seaborne transportation. We find that crisis risk strongly increased already about 1 year before the actual crisis outburst and that the shipping crisis was predominantly driven by an oversupply of transport capacity. Therefore, market participants could have prevented or alleviated the consequences of the crisis by reducing the ordering and financing of new vessels.

Journal

Journal of Applied EconometricsWiley

Published: Jan 1, 2018

References

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