TABLE 5
FROM:
An Analysis of Bunker Adjustment Factors and Freight Rates in the Europe/Far East Market (2000–2004)
Pierre Cariou and Francois-Charles Wolff
BACK TO ARTICLETable 5. Results of VAR models between HARPEX and AVERAGE, WEST, EAST
| Variables | Coefficient | t-value | Confidence interval (95%) |
|---|---|---|---|
| A. Equation 1: D.AVERAGEt | |||
| D.AVERAGEt-1 | -0.257* | -1.820 | [-0.533; 0.019] |
| D.HARPEXt-1 | 0.220** | 2.390 | [0.039; 0.401] |
| Constant | -0.001 | -0.270 | |
Granger causality test (
2; prob.) | (5.693; 0.017) | ||
| R 2 | 0.106 | ||
| A. Equation 2: D.HARPEXt | |||
| D.HARPEXt-1 | 0.720*** | 7.180 | [0.523; 0 .916] |
| D.AVERAGEt-1 | 0.042 | 0.270 | [-0.259; 0.342] |
| Constant | 0.002 | 0.660 | |
| Granger causality test (
2; prob.) | (0.074; 0.786) | ||
| R 2 | 0.542 | ||
| B. Equation 1: D.WESTt | |||
| D.WESTt-1 | -0.229 | -1 .590 | [-0.511; 0.052] |
| D.HARPEXt-1 | 0.240** | 2.400 | [0.044; 0.436] |
| Constant | -0. 001 | -0.240 | |
| Granger causality test (
2; prob.) | (5.748; 0.016) | ||
| R 2 | 0.099 | ||
| B. Equation 2: D.HARPEXt | |||
| D.HARPEXt-1 | 0.710*** | 6.970 | [0.510; 0.909] |
| D.WESTt-1 | 0.069 | 0.470 | [-0.217; 0.355] |
| Constant | 0.002 | 0.670 | |
| Granger causality test (
2; prob.) | (0.224; 0.636) | ||
| R 2 | 0.543 | ||
| C. Equation 1: D.EASTt | |||
| D.EASTt-1 | -0.214 | -1.580 | [-0.481; 0.052] |
| D.HARPEXt-1 | 0.155 | 1.570 | [-0.039; 0.349] |
| Constant | -0.001 | -0.270 | |
| Granger causality test (
2; prob.) | (2.452; 0.117) | ||
| R 2 | 0.067 | ||
| Equation 2: D.HARPEXt | |||
| D.HARPEXt-1 | 0.737*** | 7.800 | [0.552; 0.922] |
| D.EASTt-1 | -0.028 | -0.220 | [-0.283; 0.226] |
| Constant | 0.001 | 0.620 | |
| Granger causality test (
2; prob.) | (0.047; 0.829) | ||
| R 2 | 0.542 | ||
Significance levels are respectively 1% (***), 5% (**) and 10% (*). The size of the sample is 60 observations.
