In this study, we investigate the volatility spillover impact of oil prices on tanker freight rates, by calculating the monthly volatilities of eleven representative tanker freight indices, West Texas Intermediate (WTI), and Brent futures price indices to measure the oil and tanker shipping markets risk, respectively. In particular, the high-frequency component of the tanker freight rate volatility is disentangled by adopting the ensemble empirical mode decomposition (EEMD) method and Fine-to-coarse algorithm. Besides, the time-varying parameter vector autoregressive (TVP-VAR) model is employed to analyse the impact of crude oil futures prices on the high-frequency component of tanker freight rates at the volatility level. Our results reveal that crude oil price volatility affects tanker freight rate volatility on different routes to varying degrees, and crude oil price volatility has a positive spillover effect on tanker freight rate volatility on short-haul routes and small-sized ships located on routes.
Guo et al. (Thu,) studied this question.