中文摘要：

以C3、C5航线FFA交易即期和远期的日数据为研究对象，以向量自回归模型为基础，利用脉冲响应分析和方差分解分析方法，对C3、C5航线的即期与远期市场及其航线间的相关关系进行了实证分析。脉冲响应结果显示，同一航线即期市场的波动会引起远期市场的波动，反之则影响较小；C5航线的波动能迅速传给C3航线，反之则较弱。通过方差分解分析可以发现，即期市场的预测波动大约有50％来源于对应的远期市场但远期市场的预测波动主要取决于远期市场本身；C3航线的预测波动主要取决于本航线，而C5航线的预测波动则有一半来源于C3航线。

英文摘要：

Through the study of daily market data of spot and forward FFA of C3 route and C5 route , the paper analyzes market volatility and the relationship of current market and forward market with im-pulse response analysis and variance decomposition based on the Vector Autoregression Model .The results of impulse response analysis shows that volatility of the forward market is affected by changes of current market ,w hereas the reverse is less affected ,and that fluctuations of C5 route can pass to C3 route quick-ly ,but the reverse is less strong .From the analysis of variance decomposition ,50% of forecast volatility in current market relies on the responding forward market ,but the forecast volatility of forward market mainly relies on the market itself .