@article{ART003329529},
author={Sangseop Lim and Seokhun Kim},
title={Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach},
journal={Journal of The Korea Society of Computer and Information},
issn={1598-849X},
year={2026},
volume={31},
number={4},
pages={217-224}
TY - JOUR
AU - Sangseop Lim
AU - Seokhun Kim
TI - Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach
JO - Journal of The Korea Society of Computer and Information
PY - 2026
VL - 31
IS - 4
PB - The Korean Society Of Computer And Information
SP - 217
EP - 224
SN - 1598-849X
AB - The growing importance of Liquefied Natural Gas (LNG) as a "bridge fuel" in the global energy transition has significantly increased the volatility of LNG prices and its transportation market. However, empirical research on the dynamic interplay among LNG prices, freight rates, and the macroeconomic variable of interest rates remains scarce. This study analyzes the dynamic relationships between these three variables using a Vector Autoregression (VAR) model with monthly time-series data from December 2010 to December 2024 (169 observations). The three key variables are: (1) LNG spot price ($/mmbtu), (2) the 3-year U.S. Treasury rate (%), and (3) the spot charter rate for a 145,000 CBM LNG carrier ($/day). After applying logarithmic transformation to correct for non-normality, through Granger causality tests, Impulse Response Function (IRF), and Forecast Error Variance Decomposition (FEVD), we investigate the shock propagation paths and relative importance among the variables. The results show that a shock to LNG prices has a significant positive short-term effect on LNG freight rates, which dissipates within 4 to 8 months. Conversely, the impact of interest rate shocks on freight rates is minimal. Furthermore, the contribution of LNG prices to the forecast error variance of freight rates gradually increases over time. These findings have direct implications for Korea's LNG import strategy and contract risk management. These findings reveal an asymmetric and dynamic interdependence between LNG prices and the freight market, providing valuable quantitative insights for market participants in designing contracts and managing risks.
KW - LNG;LNG price;LNG carrier;freight rate;VAR model;interest rate ∙
DO -
UR -
ER -
Sangseop Lim and Seokhun Kim. (2026). Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach. Journal of The Korea Society of Computer and Information, 31(4), 217-224.
Sangseop Lim and Seokhun Kim. 2026, "Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach", Journal of The Korea Society of Computer and Information, vol.31, no.4 pp.217-224.
Sangseop Lim, Seokhun Kim "Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach" Journal of The Korea Society of Computer and Information 31.4 pp.217-224 (2026) : 217.
Sangseop Lim, Seokhun Kim. Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach. 2026; 31(4), 217-224.
Sangseop Lim and Seokhun Kim. "Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach" Journal of The Korea Society of Computer and Information 31, no.4 (2026) : 217-224.
Sangseop Lim; Seokhun Kim. Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach. Journal of The Korea Society of Computer and Information, 31(4), 217-224.
Sangseop Lim; Seokhun Kim. Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach. Journal of The Korea Society of Computer and Information. 2026; 31(4) 217-224.
Sangseop Lim, Seokhun Kim. Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach. 2026; 31(4), 217-224.
Sangseop Lim and Seokhun Kim. "Dynamic Interdependence among LNG Prices, Interest Rates, and LNG Carrier Freight Rates: A VAR Approach" Journal of The Korea Society of Computer and Information 31, no.4 (2026) : 217-224.
