Decisionmetrices : dynamic structural estimation of shipping investment decisions
Name
62889090-MIT.pdf
Description
Full printable version
Size
10.85 MB
Format
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Checksum (MD5)
18d510b6e3ab73b3c376be36702dac24
Author(s)
Dikos, George
Advisor(s)
Henry S. Marcus.
Alternative Title
Dynamic structural estimation of shipping investment decisions
Date Issued
2004
Publisher
Massachusetts Institute of Technology
Abstract
This dissertation develops structural models for analyzing shipping investment decisions, namely ordering, scrapping and lay-up decisions in the tanker industry. We develop models, based on a microeconomic specification, that allow us to understand the dynamics of shipping investment decisions under uncertainty and test interrelated economic assertions with aggregate data. The main framework is a three-party model with a structural specification of the time charter rate process, based on market clearing conditions. Structural estimation of shipping investment decisions is performed by using advanced econometric methods consistent with the Real Options and Market Microstructure literature. Several statistical tests are employed, in order to evaluate alternative specifications. Once the aggregate models have been identified and estimated, some of the early hypotheses in maritime economics are addressed and re-evaluated. Finally we integrate the three different investment modules and reconstruct the structural transportation supply function that determines the equilibrium time charter rate. System identification techniques and advanced econometric methods are employed separately and then combined, resulting in an exceptional "within-sample", as well as "out-of-sample" performance of the integrated model.
Description
Thesis (Ph. D.)--Massachusetts Institute of Technology, Dept. of Ocean Engineering, 2004.
Includes bibliographical references (p. 174-179).
Subjects
Ocean Engineering.
MIT Department
Massachusetts Institute of Technology. Department of Ocean Engineering
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