FFA를 이용한 케이프 운임 헤지에 관한 연구

초록

This study empirically analyzes optimal hedge ratios and hedging effectiveness in minimizing freight volatility risk in the shipping industry, with a focus on Capesize Forward Freight Agreement(FFA). Four models—OLS, VAR, VECM, and DVECH-MGARCH—are used to estimate and compare hedge ratios and effectiveness for different maturities of Capesize FFA. The results show that OLS and VAR models are most effective for short-term contracts, while DVECH-MGARCH is more effective for mid-term contracts. In contrast, VECM shows low effectiveness for 1-month contracts and unstable results for long-term contracts, making it unsuitable for managing Capesize freight volatility. Based on these findings, shipping companies are advised to tailor their hedging strategies to their specific risk preferences and market conditions. Additionally, they should continuously refine their strategies through regular estimation and simulation of hedge ratios, ensuring optimal risk management.

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