Determinants of dynamic dependence between the crude oil and tanker freight markets: A mixed-frequency data sampling copula model
- Publisher:
- Elsevier
- Publication Type:
- Journal Article
- Citation:
- Energy, 2022, 254, (-), pp. 124354
- Issue Date:
- 2022-09-01
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| 1-s2.0-S0360544222012579-main.pdf | Published version | 843.04 kB |
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Discovering how different oil price shocks influence dynamic dependence between the crude oil and tanker freight markets is vital to ship operators and owners responses to different shocks This study proposes a mixed frequency data sampling copula model to identify the determinants and analyze their impacts on dynamic dependence between the two markets Using a dataset covering 2 January 2002 to 30 November 2021 the proposed copula model achieved better goodness of fit performance by incorporating the monthly explanatory variables into the dynamic evolution of the daily correlations As indicated oil non supply shocks primarily determined their correlations without considering extreme market conditions which lasted for approximately 24 months Additionally the determinants of the dynamic correlations were oil supply and non supply shocks in the jointly crashing markets which were found to be oil non supply and tanker specific shocks in the jointly booming markets Their impacts can last up to six months These findings enable ship operators and owners to better understand how oil price shocks affect dynamic dependence between the two markets thus improving their decisions regarding ship chartering ship selling purchasing operating speed and derivative product investments 2022 Elsevier Ltd
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