Quantifying time-varying term-risk premia in shipping markets

Article


Wright, Graham 2011. Quantifying time-varying term-risk premia in shipping markets. Journal of Transport Economics and Policy.
AuthorsWright, Graham
Abstract

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.

Keywordsshipping; insurance; risk
JournalJournal of Transport Economics and Policy
ISSN0022-5258
Year2011
Publisher's version
License
CC BY-ND
Web address (URL)http://hdl.handle.net/10552/1557
Publication dates
PrintMay 2011
Publication process dates
Deposited19 Apr 2012
Additional information

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.

Page range329-340
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https://repository.uel.ac.uk/item/860xy

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