Quantifying time-varying term-risk premia in shipping markets

Recent empirical work, as part of its attempt to establish the expectations hypothesis and
explain the term structure of shipping freight rates, has identified the presence of timevarying
term-risk premia in shipping markets. Consequently, to proceed further in any
such research, a way must be found to model this variable independently from the
expectations hypothesis. This paper considers one possible approach that involves
deriving a relationship between market risk and market discount rates. This relationship
is then employed to illustrate how term-risk premia in shipping markets might be quantified.

Citation:
Wright, G. (2011) 'Quantifying time-varying term-risk premia in shipping markets a possible approach'. Journal of Transport Economics and Policy, 45, pp. 329-340.