Emtia fiyatı ve navlun piyasasının ajan bazlı etkileşimi

The aim of this study is to investigate the relationship between iron ore, coal and wheat prices, which are 3 major dry bulk cargoes, and Capesize, Panamax and Handymax freights, which are the intensively used ships in the transportation of these three basic cargoes. The main research questions are whether there is a volatility spillover and risk transmission between commodity prices and freight routes and whether there is a differentiation in relations according to the type of cargo and the rate of intensive carriage. To test these research questions, causality in variance analysis is used, which determines the flow of information between variables and the volatility spillover. The obtained results reveal that the interaction can differ according to both ship types and commodity types. The relations of Capesize and Panamax ship types with commodities are partially similar. Even though the results are not common for all routes included, there is a causal relationship from the price of iron ore and coal to the freight of these ships. In their relations with the wheat price, there are bidirectional causality relationships between freight routes and commodity prices. For Handymax type ship, while no relation from commodity prices to freights can be determined, causalities were determined from freights to coal and wheat prices. The volatility in the prices of industrial products spread to the freight markets, and the carriage rates do not differentiate between these two markets due to the neighboring of Capesize and Panamax type vessels. In addition, the volatility spillover from wheat price to freight is likely due to the market type or the close relationship of wheat price with oil price, which constitutes the biggest part of the voyage costs of the ships. Based on these results, it has been determined that volatility spillovers and risk transfers are from commodity prices to freight prices, and some relationships differ depending on the ship type. In this way, in addition to making an original contribution to the literature, the relationship between commodity prices and freight rates on the basis of the agent was determined, and a contribution is thought to be made in order to reduce the risks due to uncertainty for agents.