Abstract
A vector autoregressive model was developed for a sample of container carrier time charter rates. Although the series of time charter rates are themselves found non-stationary, thus precluding the use of many modeling methodologies, evidence provided by co-integration tests points to the existence of stable long-term relationships between the series. An assessment of the forecasts derived from the model suggests that the specification of these long-term relationships does not improve the accuracy of long-term forecasts. These results are interpreted as a corroboration of the efficient market hypothesis.
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