Demystifying China’s Impacts on the Iron Ore Market: A VECM Approach

Demystifying China’s Impacts on the Iron Ore Market: A VECM Approach

This paper analyzed China’s impacts on the iron ore market using the Vector Error Correction Model (VECM). The significant statistical results indicate that world GDP, China GDP, China’s total Fixed Asset Investment (FAI), real estate investment and FAI on transportation are useful in predicting the...

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Bibliographic Details
Main Authors: Huang, Ying, Lin, Wenyi, Sun, Chenyu
Other Authors: Tan Kong Yam
Format: Final Year Project
Language:English
Published: 2016
Subjects:
DRNTU::Social sciences::Economic development::China
DRNTU::Social sciences::Economic theory::Macroeconomics
Online Access:http://hdl.handle.net/10356/67003
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Institution: Nanyang Technological University
Language: English
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Summary:This paper analyzed China’s impacts on the iron ore market using the Vector Error Correction Model (VECM). The significant statistical results indicate that world GDP, China GDP, China’s total Fixed Asset Investment (FAI), real estate investment and FAI on transportation are useful in predicting the iron ore price. Additionally, the impulse and response analysis suggests that shocks to China’s real estate investment and FAI have significant and permanent impacts on the iron ore price. In contrast, shocks to other variables have no long-term effects. Lastly, based on the model, we predict that iron ore will rally in the two quarters of 2016.

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