글로벌 불확실성과 해운 운임지수 간의 분위별 시간 주파수 연계성 분석 = Global Uncertainties and Shipping Freight Indices: Quantile Time-Frequency Connectedness

다국어 초록 (Multilingual Abstract)

Purpose : This study examines how global uncertainties—the Volatility Index (VIX), Geopolitical Risk (GPR), and Trade Policy Uncertainty (TPU)—affect major shipping freight indices (BCI, BPI, BSI, BDTI, and BCTI) across heterogeneous market conditions and frequency domains.




Research design, data, methodology : Using daily data from January 2015 to June 2025, the study employs the quantile time–frequency connectedness approach based on the Quantile Vector Autoregression (QVAR) model and generalized forecast error variance decomposition (GFEVD) to capture time-varying spillovers.




Results : The findings reveal strong and time-varying connectedness between global uncertainty indicators and shipping freight indices. During bearish markets, internal linkages within shipping indices dominate, while in bullish periods, VIX, GPR, and TPU become net transmitters, exerting persistent long-term effects. The connectedness intensifies during global crises such as COVID-19, highlighting the asymmetric nature of systemic risk transmission across time and frequency domains.




Conclusions : Global uncertainties reshape maritime market interdependence and amplify systemic risk. Policymakers and industry participants should monitor uncertainty-driven linkages and incorporate them into strategic risk management and investment decisions.