Is History Repeated? Cycles and Recessions in Shipping Markets, 1929 and 2008

This paper is based on the idea of the paper created by the 1990 monograph of M. Hampton, who argued that the history of shipping is repeated in short run cycles (3-4 years), long cycles (16-24 years), and long Kondratieff waves of 56 years. Thus, it is argued here that the 2008-2012 Second Great Depression has started now. A short-run shipping cycle of 3-4 years duration detected in this paper for 1998-2008 weekly freight market BP index, using the non-parametric rescaled range analysis and V-statistic. These were invented by Hurst (1951) and brought to prominence and to finance by Mandelbrot. This cycle started on August 1, 2005 and ended on October 13, 2008 (166 weeks out of 208 for a 4-year theoretical duration of the cycle). So, it remained to forecast further 42 future weeks that were missing (208 minus 166). The system, however, found to be non-linear and chaotic with long-term memory and thus, the author had to apply a methodology suggested by Siriopoulos and Leontitsis (2000) and to forecast 6 weeks only as this is allowed by system's Lyapunov's coefficient.

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  • English

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  • Accession Number: 01141893
  • Record Type: Publication
  • Files: TRIS
  • Created Date: Oct 15 2009 4:54PM