The role of the world’s major steel markets in price spillover networks: an analysis based on complex network motifs

Yanxin Liu, Huajiao Li (), Jianhe Guan, Xueyong Liu and Yajie Qi
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Yanxin Liu: China University of Geosciences
Huajiao Li: China University of Geosciences
Jianhe Guan: China University of Geosciences
Xueyong Liu: China University of Geosciences
Yajie Qi: China University of Geosciences

Journal of Economic Interaction and Coordination, 2019, vol. 14, issue 4, No 1, 697-720

Abstract: Abstract In recent years, the international steel market has shown increasingly strong cross-regional correlation. To better understand the price trends of various markets, it is necessary to identify their inherent price spillovers. This paper combines a generalized autoregressive conditional heteroskedasticity Baba–Engle–Kraft–Kroner (GARCH-BEKK) model and complex network motifs to explore the price fluctuations among international steel markets. The study selects steel markets in 12 countries and regions and uses daily data on import and export prices from January 2009 to September 2017 to analyze eight steel products. The results show that spillovers are associated with geographical location, market development, product type and status. Spillovers mostly occur between buyer’s markets; additionally, the Asian market, especially the East Asian market, is in most cases the recipient of spillover, whereas the European Union (EU) market is in most cases the sender of spillover effects. Developed markets have clear spillover effects on emerging markets, sheet steel products have clear spillover effects on profile steel products, and the prices of midstream and downstream products in the industrial chain are the most influenced. This paper examines international steel market relationships from the perspective of price transmission, and the results can help manage and prevent large-scale economic risks.

Keywords: Price volatility; Spillover network; Steel market; Global trade (search for similar items in EconPapers)
JEL-codes: D85 F02 L61 R11 (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (5)

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DOI: 10.1007/s11403-019-00261-6

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