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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Main Authors: Huang, Ying, Lin, Wenyi, Sun, Chenyu
其他作者: Tan Kong Yam
格式: Final Year Project
語言:English
出版: 2016
主題:
DRNTU::Social sciences::Economic development::China
DRNTU::Social sciences::Economic theory::Macroeconomics
在線閱讀:http://hdl.handle.net/10356/67003
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機構: Nanyang Technological University
語言: English
實物特徵
總結: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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