Research on the Co-integration Relationship between China Coastal Bulk Freight Index and the Freight Rate of Sample Route

In order to explore the co-integration relationship between China' s coastal bulk freight index and the freight rates of its sample routes, weekly data from January 2010 to November 2019 are selected as samples, establish a vector auto-regressive (Vector Auto-Regressive, VAR) model, and use Granger causality test and impulse response analysis to study the relationship between the two. The empirical analysis results show that there is a co-integration relationship between China ’ s coastal bulk freight index and the freight rates of the sample routes. After modeling and analysis, there is a two-way causal relationship between the two, and they are very sensitive to shocks from each other. Finally, their error correction models are given.