Title: Credit, stock, commodity and shipping market interactions in a three state boom bust cycle
Authors: Nikos Paltalidis - Durham University (United Kingdom) [presenting]
Abstract: A three-regime boom-bust cycle model is proposed which captures short-term transmission of shocks to the shipping market. Stock, credit and commodity assets are employed as proxies that capture short-run market fluctuations for dry bulk, and tanker shipping markets. The results indicate that during the latest boom-bust cycle from 2005 till 2013, there is evidence of cross-border volatility spillover among seemingly unrelated assets which behave as channels that spread risk, and act as an indicator for the shipping cycle phase. Higher risk premium required by investors for holding financial assets, depresses substantially and changes the risk perception of the shipping market. We document that these assets become more integrated during crisis periods when compared with tranquil periods. However, in the post-crisis era supply side factors dictate the fluctuations of the shipping assets.