The Baltic Dry Index: cyclicalities, forecasting and hedging strategies

Fotis Papailias; Dimtrios Thomakos; Jiadong Liu

doi:10.1007/s00181-016-1081-9

The Baltic Dry Index: cyclicalities, forecasting and hedging strategies

Fotis Papailias, Dimtrios Thomakos, Jiadong Liu

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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.

Original language	English
Pages (from-to)	255-282
Journal	Empirical Economics
Volume	52
Issue number	1
Early online date	06 Apr 2016
DOIs	https://doi.org/10.1007/s00181-016-1081-9
Publication status	Published - Feb 2017

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10.1007/s00181-016-1081-9Licence: CC BY

The Baltic Dry Index: cyclicalities, forecasting and hedging strategies
Copyright the Authors 2016. This article is distributed under the terms of the Creative Commons Attribution 4.0 International License (http://creativecommons.org/licenses/by/4.0/), which permits unrestricted use, distribution, and reproduction in any medium, provided you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license, and indicate if changes were made.
Final published version, 618 KBLicence: CC BY

Jiadong Liu
- liu.jiadongqub.acuk
- Queen's Business School (QBS) - Senior Lecturer
- Finance
Person: Academic

Cite this

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The Baltic Dry Index: cyclicalities, forecasting and hedging strategies

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