期刊名称：Discussion Papers / Norwegian School of Economics and Business Administration
印刷版ISSN：0804-6824
出版年度：2006
卷号：2006
出版社：Bergen
摘要：The purpose of this paper is to investigate the hypothesis that the supercycle in the
drybulk freight market between 2003 and 2005 caused asset values in the second -hand
market to deviate from underlying fundamentals. We test the instantaneous equilibrium
relationship between the actual second-hand values and those implied by the newbuilding
and freight market conditions in a Vector Error Correction Model (VECM) framework.
We also estimate and account for, for the first time, the time-varying delivery lag in the
newbuilding market. Our empirical results suggest that the second-hand market was
closely cointegrated with the fundamental freight and newbuilding market with no
evidence of a short-term asset “bubble”
关键词：Newbuilding prices, second -hand market, asset bubble, market integration
