The Impact of Fluctuations in Global Energy Prices on Maritime Transportation: A Frequency-Based Approach

Abstract

This study examines the volatility spillovers between oil prices (WTI, Brent, Dubai) and shipping indices (BDI, BCTI, BDTI) from January 02, 2015, to July 31, 2024. Using the methods of Diebold and Yilmaz (2012) and Baruník and Křehlík (2018), the volatility relationships between energy and shipping markets are analysed in directional and frequency terms. The findings show that oil prices have a strong volatility effect on shipping indices, which is particularly pronounced in the long run. The long-term impact of Brent oil prices on shipping indices suggests that shocks in energy markets can have lasting effects on global transportation costs. Moreover, global events, such as the COVID-19 pandemic and the Russia-Ukraine war, have further amplified the spillover of energy market volatility to shipping indices. The study results emphasise the need for firms operating in energy and shipping markets to develop stronger risk management strategies against volatility. Future research should examine the effects of larger data sets and macroeconomic factors on these relationships.