Contemporaneous causality among price indices of ten major steel products

Abstract

The problem of dynamic relationships among the price indices of 10 major steel products – the rebar, steel wire, plate, hot rolled coil, cold rolled plate, galvannealed sheet, seamless tube, welded tube, section and narrow strip – is addressed in the present work for the Chinese market from 2011M7 to 2021M4. For examination of contemporaneous causal links among the 10 series, we use data on a daily basis and combine the vector error correction model and directed acyclic graph. This analysis is done using both the Peter and Clark and linear non-Gaussian acyclic model algorithms. With the exception of the price series for steel wire, each of the 10 series is part of cointegration relationships according to the vector error correction model, and all save the price series for thin strips respond to long-run equilibrium disturbances. The linear non-Gaussian acyclic model method allows us to achieve causal routes that allow for the examination of innovation accounting, but the Peter and Clark algorithm prevented us from reaching an acyclic graph. We categorise complex dynamics among price adjustment processes after shocks based on impulsive responses, for which the price indices of the plate, seamless tube and thin strip are predominating in comparison to the other seven items. Our findings show that these three goods should get the most consideration when designing long-term strategies for steel prices.

Wholesale price forecasts of green grams using the neural network

“…For commodity price forecasts in the resource and agricultural sectors, a great deal of effort has gone into creating accurate and dependable model performance using time-series econometric techniques (Kling and Bessler, 1985;Jin and Xu, 2024c;Xu and Zhang, 2023e;Bessler, 1982;Xu and Thurman, 2015a;Brandt and Bessler, 1981;Xu and Zhang, 2024a;Bessler and Chamberlain, 1988;Xu and Zhang, 2023t;McIntosh and Bessler, 1988;Xu and Zhang, 2023h;Bessler and Brandt, 1981;Xu and Zhang, 2023m;Bessler, 1990;Bessler and Babula, 1987;Bessler, 1982, 1984;Xu, 2015a;Brandt and Bessler, 1983;Yang et al, 2001;Bessler et al, 2003;Bessler and Brandt, 1992;Bessler and Hopkins, 1986;Chen and Bessler, 1990;Wang and Bessler, 2004;Chen and Bessler, 1987;Bessler and Kling, 1986;Babula et al, 2004;Xu, 2014b;Awokuse and Yang, 2003;Yang and Awokuse, 2003;Jin and Xu, 2024d;Yang and Leatham, 1998;Yang et al, 2021;Jin and Xu, 2024a;Kumar, 2019;Dongo, 2007;Jin and Xu, 2024e;De Silva and Herath, 2016;Pani et al, 2019;…”