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Time-varying spillovers and dependencies between iron ore, scrap steel, carbon emission, seaborne transportation, and China's steel stock prices

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  • Ma, Yiqun
  • Wang, Junhao

Abstract

We have examined the time-varying price spillovers and dependencies between iron ore, scrap steel, carbon emissions, seaborne transportation, and China's steel stock by using price spillover and copula models to cover the period 2011–2020. More specifically, the Platts, the MBIOI, and the Chinese Iron Ore spot prices (CIOPI) are analyzed and compared. Our results show that of the three iron ore price indexes, the Platts is a primary contributor of price spillover and highly comparable with China's steel stock prices. The scrap steel, seaborne transportation, and carbon emission prices incur relatively low price spillovers and moderately link with China's steel stock prices. In addition, the time-varying price spillovers and links are sensitive to economic shocks stemming from China's policy implementation to cut overcapacity in steelmaking and the spread of coronavirus. Our results may suggest that the Platts is still the benchmark spot price in determining China's steel stock prices. The results might also guide market investors to hedge the financial risks in the commodity market and help policymakers design appropriate financialization policies for the iron ore and steel markets.

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  • Ma, Yiqun & Wang, Junhao, 2021. "Time-varying spillovers and dependencies between iron ore, scrap steel, carbon emission, seaborne transportation, and China's steel stock prices," Resources Policy, Elsevier, vol. 74(C).
    • Handle: RePEc:eee:jrpoli:v:74:y:2021:i:c:s0301420721002658
    DOI: 10.1016/j.resourpol.2021.102254
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