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Koekebakker, Steen
(2017).
Rentetabben har kostet 335 mill.
[Avis].
Fædrelandsvennen.
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Ådland, Roar Os; Koekebakker, Steen & Benth, Fred Espen
(2016).
Multivariate modelling of regional ocean freight rates.
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Ådland, Roar Os & Koekebakker, Steen
(2016).
Decomposing the spot freight rate process.
Vis sammendrag
Most research on the dynamics of spot freight rates in bulk shipping attempts to model prices as a univariate stochastic process, either in continuous time (e.g. Geometric Brownian motions and variations thereof) or discrete time (ARIMA-GARCH type models). An alternative approach is to build a full-blown economic equilibrium model of the supply & demand for freight services. While the latter can easily account for a realistic supply function and the changes thereof, a weakness with this approach is that demand is often unobservable in real-life empirical work. Moreover, spot freight rates during strong freight markets will frequently be at levels far removed from the marginal cost of producing transportation which means that the classical marginal cost function is not what sets freight rates but rather some unknown auction-like behavior. In this paper we propose a third and new way to model spot freight rates by decomposing the observed process into two separate but additive processes, namely: (1) a marginal cost process that depends on the marine fuel price and the technical specifications of the fleet and (2) a residual process (‘markup’) that is equal to the difference between the observed spot freight rate and the marginal cost. The latter can be interpreted as the excess profit for the least efficient vessel in the fleet. This decomposition, which is new to the literature, has numerous benefits. Firstly, the stochastic spot freight rate process will not be independent of the technical specifications of the ships in the fleet but will reflect changes in its composition over time. This allows the simulation of the impact of both evolutionary and revolutionary future shifts in ship designs (such as the gradual creep in DWT sizes or new eco-efficient designs). Perhaps more importantly, we are able to account for changes to the spot freight rate process that are of a permanent nature, such as the removal of old inefficient turbine tankers from the fleet. Secondly, a separation of the part of the spot freight rate that depends on the fuel price (through the marginal cost) enables us to specify a stochastic process for the bunker price that more accurately reflects the observed dynamics of the oil market. For instance, it is likely that the ten-fold increase in fuel costs over the last 15 years has contributed to the appearance of non-stationarity of certain spot freight rate series (on a $/tonne basis).
We estimate the marginal cost and the markup as two separate ARIMA processes, and discuss economic implications for our findings. Using spot rate data from the LPG and VLCC freight markets, our main statistical findings are as follows. The marginal cost process seems to be non-stationary. This is not very surprising, as it closely related to crude oil. The markup is found to be stationary, but has strong persistence. The qualitative features of our decomposition seem robust across market segments, indicating that our analysis applies to shipping markets in general.
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Zakamouline, Valeri; Koekebakker, Steen & Benth, Fred Espen
(2010).
A Continuous Time Model for Interest Rate with Autoregressive and Moving Average Components.
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Koekebakker, Steen & Zakamouline, Valeri
(2007).
Svar på DnB NOR Markets' metodekritikk.
Praktisk økonomi & finans.
ISSN 1501-0074.
4(bare elektronisk ver).
Vis sammendrag
DnB NOR Markets er kritiske til metoden som benyttes i Koekebakker og Zakamouline (2007) og foreslår et alternativ. Her diskuterer vi vår metode og sammenholder det alternative forslaget. Kort oppsummert er DnB NORs metode upassende for investorer med lang investeringshorisont. Den umuliggjør en enkel sammenligning med fornuftige plasseringsalternativer. Avkastningen vektes over tid i henhold til hvor mange produkter som til enhver tid tilbys i markedet. DnB NOR Markets¿ metode virker uegnet til å vurdere historisk avkastning på garanterte spareprodukter, og vi fastholder vårt opprinnelige valg av metode.
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Koekebakker, Steen & Zakamouline, Valeri
(2007).
Historisk Avkastning på Garanterte Spareprodukter.
Praktisk økonomi & finans.
ISSN 1501-0074.
4.
Vis sammendrag
I denne artikkelen undersøker vi historisk avkastning på garanterte spareprodukter. Risikoen ved slike investeringsprodukter er høyere enn risikofri eksponering, og lavere enn full eksponering mot det underliggende markedet. Dette skulle tilsi en forventet ekstraavkastning utover bankrenten. Resultatet er totalt sett nedslående. Realisert avkastning for garanterte spareprodukter over en 10-årsperiode ligger klart under bankrenten.
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Koekebakker, Steen & Zakamouline, Valeri
(2007).
Svar på metodekritikk fra DnBNOR markets.
Praktisk økonomi & finans.
ISSN 1501-0074.
(web-publisering).
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Koekebakker, Steen & Zakamouline, Valeri
(2007).
Realisert avkastning på aksjeindeksobligasjoner.
Praktisk økonomi & finans.
ISSN 1501-0074.
s. 75–87.
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Sødal, Sigbjørn & Koekebakker, Steen
(2007).
Real options with non-linear dynamics.
Vis sammendrag
The value of a real or financial option depends among other factors on the assumption of the underlying stochastic process. Linear and loglinear processes are most common, such as the arithmetic Brownian motion, the geometric Brownian motion and the Ornstein-Uhlenbeck process. In the time series literature, non-linear continuous time models have been developed. One such class of models is the threshold-autoregressive model, where the dynamic process changes character depending on whether the process is above or below a certain threshold. In this paper we investigate real option modelling when uncertainty can be described by a continuous time threshold autoregression. Closed form solutions to perpetual American options on such processes are derived. Various applications are studied, focusing on how uncertainty and non-linearity can a?ect option valuation and investment. This includes examples where uncertainty encourages investment, contrary to the result with most real options models.
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Koekebakker, Steen
(2006).
Modelling electricity and related markets.
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Koekebakker, Steen
(2006).
Electricity term structure modelling.
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Koekebakker, Steen & Zakamouline, Valeri
(2006).
Forventet Avkastning på Aksjeindeksobligasjoner.
Praktisk økonomi & finans.
ISSN 1501-0074.
4,
s. 75–87.
Vis sammendrag
Aksjeindeksobligasjoner er blitt en populær spareform i Norge, og mange velger å lånefinansiere slike investeringer. Hovedgrunnen til populariteten er utvilsomt at tapspotensialet er begrenset og at flere finansinstitusjoner har brukt store ressurser på markedsføring av produktene. Det har frem til nå vært svært lite fokus på gevinstpotensialet til disse produktene. I denne artikkelen forklarer vi hvordan vi kan beregne forventet avkastning på aksjeindeksobligasjoner. Vi eksemplifiserer med to produkter som ble lansert av DnB høsten 2000. Selv med optimistiske antagelser om forventet avkastning i aksjemarkedet, viser det seg at forventet avkastning på disse produktene så vidt overstiger risikofri rente. Ved lånefinansiering finner vi at kundene har negativ forventet avkastning
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Sødal, Sigbjørn; Koekebakker, Steen & Ådland, Roar
(2006).
Value based trading of real assets in shipping under stochastic freight rates.
Vis sammendrag
The paper uses a real options valuation model with stochastic freight rates to investigate market efficiency and the economics of switching between the dry bulk and the tanker markets in international shipping. A dry bulk carrier is replaced with a tanker when the expected net present value of such a switch is optimal from a real options based decision rule. Depending on the development of the markets a reversal may take place later. The cost and demand parameters upon which the decisions to switch are made, including the stochastic characteristics of freight rates, are estimated from an empirical analysis that is updated every week throughout a 12-year time period from 1993 to 2005. The second-hand market for bulk ships seems to have been efficient most of these years in the sense that market switching usually did not pay off, with one major exception: it seemed profitable in expectation to leave the dry bulk market and enter the tanker market over a significant period of time shortly after the millennium shift, and to return to dry bulk market about three years later. These points in time corresponded with an unprecedented boom period in the tanker and drybulk freight markets, respectively, and the result suggest that agents in the second-hand market were slow to adjust their expectations. In retrospect, such an investment policy also happened to be profitable compared to staying put in the tanker market, even after accounting for transaction costs.
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Koekebakker, Steen; Ådland, Roar & Sødal, Sigbjørn
(2005).
Modelling freight rate derivatives.
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Sødal, Sigbjørn; Randøy, Trond & Koekebakker, Steen
(2004).
Vent med flere høybroer.
Fædrelandsvennen.
ISSN 0805-3790.
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Ådland, Roar; Koekebakker, Steen & Sødal, Sigbjørn
(2004).
Vessel valuation in bulk shipping: A multivariate density approach.
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Alizadeh, Amir; Ådland, Roar & Koekebakker, Steen
(2004).
Unbiasedness of implied forward time-charter rates.
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Koekebakker, Steen; Sødal, Sigbjørn & Ådland, Roar
(2004).
The non-stationarity of freight rates revisited.
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Koekebakker, Steen
(2003).
Forward curve dynamics in the Nordic electricity market.
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Koekebakker, Steen & Lien, Gudbrand
(2003).
Term structure of volatility and price jumps in agricultural markets - evidence from option data.
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Koekebakker, Steen & Ådland, Roar
(2003).
The pricing of forward ship value agreements and the unbiasedness of implied forward prices in the second-hand market for ships.
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Koekebakker, Steen & Ådland, Roar
(2003).
Forward freight rate dynamics – evidence from bulk market T/C rates.
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Koekebakker, Steen & Ådland, Roar
(2003).
Market efficiency in the second-hand market for bulk ships.
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Koekebakker, Steen & Lien, Gudbrand
(2002).
Term structure of volatility and price jumps in agricultural markets - evidence from option data.
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Sødal, Sigbjørn & Koekebakker, Steen
(2002).
Valuling an operating electricity production unit.
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Koekebakker, Steen & Lien, Gudbrand
(2001).
Term structure of volatility and price jumps in agricultural markets.
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Koekebakker, Steen
(2001).
Electricity derivatives.
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Koekebakker, Steen
(2001).
Volatility dynamics in the Nordic electricity market.
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Koekebakker, Steen
(2001).
Approximate Asian option pricing in the Black'76 framework.
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Koekebakker, Steen
(2000).
A lognormal approximation of Asian options.
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Koekebakker, Steen
(2000).
Interpreting Asian options as European with stochastic volatility.
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Koekebakker, Steen & Ollmar, Fridthjof
(2000).
Electricity forward curve dynamics: Evidence from the Nordic market.
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Koekebakker, Steen & Zakamouline, Valeri
(2006).
Forventet Avkastning på Aksjeindeksobligasjoner.
Universitetet i Agder.
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Benth, Fred Espen & Koekebakker, Steen
(2005).
Stochastic modeling of financial electricity contracts.
Matematisk institutt.
ISSN 0806-2439.
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Borgersen, Trond-Arne; Greibrokk, Jørund H.; Greibrokk, Jørund H. & Koekebakker, Steen
(2004).
Livssykluser og priseffekter i boligmarkedet: Effekter fra husholdningenes flyttetilbøyelighet.
Høgskolen i Finnmark.
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Borgersen, Trond-Arne; Greibrokk, Jørund H.; Greibrokk, Jørund H. & Koekebakker, Steen
(2004).
Livssykluser og priseffekter i boligmarkedet : effekter fra husholdningenes flyttetilbøyelighet.
Høgskolen i Finnmark.
ISSN 8279381066.
Vis sammendrag
Artikkelen analyserer effekten av husholdningers flyttetilbøyelighet på utviklingen i boligprisene. Utgangspunktet for analysen er en etterspørsels antatte livssyklus, som avhenger av utviklingen i forholdet mellom andelen aktive og andelen passive (enda ikke-aktive) etterspørrere. Tilbudssiden i boligmarkedet er fullstendig undertrykt. På kort sikt drives markedet av andelen aktive etterspørrere. På lang sikt er alle potensielle etterspørrere aktivert. Et konvensjonelt livssyklusmønster avhenger av at etterspørselen er homogen, og består av husholdninger som driver gjentatt etablering når de er aktivert. Når livssyklusen er fullendt er prisnivået da på sitt høyeste. Transaksjonssannsynligheten er konstant over livssyklusen, og derfor har livssyklusen ingen effekt på prisveksten i langsiktig likevekt. Prisveksten har imidlertid en kortsiktig overreaksjon over livssyklusen, sammenlignet med livssyklusens bidrag til prisvekst i langsiktig likevekt. Dersom etterspørselen er homogen, men husholdningene er engangsetablerere, påvirker ikke livssyklusen prisnivået i langsiktig likevekt. Heller ikke i dette tilfellet genererer livssyklusen prisvekst i langsiktig likevekt, da etterspørselen reduseres kontinuerlig over livssyklusen helt til husholdningene har etablert seg (ferdig). I tilfellet med engangsetablerere avviker markedsutviklingen fra livssyklusmønsteret og gir opphav til en kortsiktig overreaksjon i prisnivå, sett i forhold til livssyklusens bidrag til prisnivå i langsiktig likevekt. I tilfellet med engangsetablerere gir livssyklusen et ”bølgete” bidrag til prisveksten. Med heterogen etterspørsel, der både engangsetablerere og gjentatte etablerere er tilstede, kan markedet oppleve perioder med kortsiktige overreaksjoner i prisnivå og prisvekst. Jo større andel av etterspørrerne som er engangsetablere, desto større er den kortsiktige overreaksjonen i prisnivå sett i forhold til livssyklusens bidrag til prisnivå i langsiktig likevekt. Modellen illustrerer hvordan endringer i flyttetilbøyelighet kan påvirke prisprosessene i boligmarkedet, og at lokale forskjeller i prisnivå eller prisvekst, kan være et resultat av at boligmarkeder er i ulike faser av livssyklusen.
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Koekebakker, Steen
(2003).
An arithmetic forward curve model for the electricity market.
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Koekebakker, Steen & Ådland, Roar
(2003).
Modeling forward freight rate dynamics – empirical evidence from time charter rates.
Universitetet i Agder.
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Koekebakker, Steen
(2002).
Valuation of Asian options and commodity contingent claims.
ISSN 8240500757.
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Sødal, Sigbjørn & Koekebakker, Steen
(2001).
The value of an operating electricity production unit.
Vis sammendrag
In this paper we develop an equilibrium-based net present value model of an operating electricity production unit whose supply is given by a stochastic, mean-reverting process. The price process for electricity is derived from an underlying pair of stochastic, aggregate supply and demand processes that are also mean-reverting, while the instantaneous supply and demand functions are iso-elastic. The model is illustrated by a set of experimental data.
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Koekebakker, Steen & Lien, Gudbrand
(2001).
Term structure of volatility and price jumps in agricultural markets - evidence from option data.
Institutt for foretaksøkonomi. Norges handelshøyskole.
Vis sammendrag
Empirical evidence suggests that agricultural futures price movements have fat-tailed distributions and exhibit sudden and un xpected price jumps. There is also evidence that the volatility of futures prices contains a term structure depending on both calendar-time and time to maturity. This paper extends Bates (1991) jump-diffusion option pricing model by including both seas nal and maturity effects in volatility. An in-sample fit to market option prices on wheat futures show that our model outperforms previous models considered in the literature. A numerical example illustrates the economic significance of our results for option valuation.
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Koekebakker, Steen & Ollmar, Fridthjof
(2001).
Forward Curve Dynamics in the Nordic Electricity Market.
Institutt for foretaksøkonomi. Norges handelshøyskole.
Vis sammendrag
The purpose of this paper is to investigate the forward curve dynamics in an electricity market. Six years of price data on f tures and forward contracts traded in the Nordic electricity market are analysed. For the forward price function of electricity, we specify two different multifactor term structure models in a Heath-Jarrow-Morton framework. Principal component analysis is used to reveal the volatility structure in the market. A two-factor model explains 75% of the price variation in our data, compared to approximately 95% in most other markets. Further investigations show that correlation between short- and long term forward prices is lower than in other markets. We briefly discuss possible reasons why these special properties occur, and some consequences for hedging exposures in this market.