| The world’s economic and social development is inseparable from mineral resources.Iron ore has been an important material basis for the development of human civilization from ancient times to the present.With the rapid economic development,China’s steel production has grown from 158,000 tons in 1949,accounting for only 0.1%of the world’s total production to nearly 1 billion tons in 2020,accounting for 56.7% of the world’s total production.With the rapid development of the iron and steel industry,China has also become the world’s largest iron ore demand and consumption country.In sharp contrast to the world’s largest iron ore consumption,China does not have enough pricing power in the world iron ore market,making China suffer losses in the iron ore import trade.In May 2021,the price of iron ore soared to 1633 yuan / ton,which has increased by 237% since the beginning of 2020,resulting in a loss of iron ore import trade up to 61.2 billion US dollars in the first 11 months of 2020,which seriously affected the stable and healthy development of China’s steel industry.Iron ore prices fluctuate violently,which seriously threatens the security of iron ore supply in China.In this context,what are the factors that affect iron ore price fluctuations,how will iron ore price fluctuations be transmitted,and how iron ore price fluctuations affect their downstream industry,and whether the fluctuations caused by these impacts will endanger national security have become important scientific issues that need to be explored urgently.This study uses MSVAR model,VAR-BEKKGARCH model,long-panel fixed-effect model and long-panel dynamic model to study influence factors of iron ore price fluctuations,iron ore price fluctuation transmission effects and the impact of iron ore price fluctuations on the steel industry respectively.The main understandings and conclusions are as follows: 1)Domestic iron ore production,iron ore imports,domestic crude steel production,Shibor overnight lending rate,iron ore inventories,oil prices and sea freight all can affect iron ore price fluctuations.When the price of iron ore is in a falling period(zone 1),the increase in domestic iron ore production will lead to a decline in iron ore prices;when the price of iron ore is in a stable period(zone 2),the increase in domestic iron ore production will cause the price of iron ore to rise;when the price of iron ore is on the rise(zone 3),the impact of domestic iron ore production on the price of iron ore fluctuates around zero.Regardless of whether iron ore prices are falling,stable or rising,iron ore imports have a negative impact on iron ore prices,while domestic steel production has a positive impact on iron ore prices.Whether iron ore prices are falling,stable or rising,Shibor overnight lending rates have a negative impact on iron ore prices.The impact of iron ore inventory on iron ore prices is mainly reflected in the aggravation of iron ore price fluctuations.When iron ore prices are falling,inventories will accelerate the decline in iron ore prices.When iron ore prices are rising,inventory will also accelerate the rise in iron ore prices.Both the oil price and the sea freight will have a positive impact on the iron ore price,and the impact is the greatest when the iron ore price is in a declining period,and the impact of the oil price has a certain lag.2)In terms of the spatial spillover effect of iron ore price fluctuations,the imported iron ore market has a oneway mean spillover effect on the domestic iron ore market,and there is a two-way volatility spillover effect between the imported iron ore market and the domestic iron ore market.In terms of the vertical spillover effect of iron ore price fluctuations,there is a one-way mean spillover effect from the domestic steel market to the imported iron ore market,while there is no mean spillover effect between the domestic steel market and the domestic iron ore market.There is a one-way volatility spillover effect from the domestic steel market to the imported iron ore market.There is two-way volatility spillover effect between the domestic steel market and the domestic iron ore market;3)Whether under static analysis or dynamic analysis,domestic iron ore prices and international iron ore prices have a significant negative impact on steel production of domestic steel enterprises,and the negative impact of international iron ore prices on steel output of domestic steel enterprises is stronger than that of domestic iron ore prices.The international iron ore price has an asymmetrical influence pattern on the steel production of domestic steel enterprises,that is,when the international iron ore price rises,the impact on the steel production of domestic steel enterprises is stronger than that when the price falls.The impact of domestic iron ore price has no obvious asymmetric pattern.The dynamic impact analysis finds that the steel production of domestic steel enterprises is sticky,and the one period lag of domestic iron ore price has a significant impact on the steel production of domestic steel enterprises.Based on the above conclusions and analysis,this thesis finally puts forward relevant policy suggestions such as increasing domestic iron ore supply,speeding up the construction of raw material price risk management system for domestic steel enterprises,speeding up the technological upgrading of domestic iron ore mining industry,and promoting mergers and acquisitions of domestic steel enterprises.The innovations of this thesis are:Firstly,combining the characteristics of price fluctuations in the iron ore market,this study uses the dynamic and nonlinear MSVAR model by dividing the iron ore price into three zones: the price rising period,the price falling period and the price stable period to analysis the effect of different influencing factors on iron ore price volatility and its asymmetry.At the same time,in terms of price influencing factors,in addition to comprehensively considering factors such as supply,demand,finance,and cost,speculative factors are also included in the analysis framework,and the index of iron ore inventory is used to characterize speculative factors in the market.Secondly,in terms of the spillover effects of mineral resource price fluctuations,this thesis includes the spillover effects of iron ore price fluctuations in the industry chain into the research category,and uses the VAR-BEKK-GARCH model to discuss the mean spillover effects and volatility spillover effects of iron ore price fluctuations,expanding the previous research perspective that only focuses on the spillover effect among different markets.Thirdly,this study internalizes the price fluctuation of iron ore into the production cost of steel enterprises,and analyzes the impact of iron ore price fluctuation on steel enterprises from the perspective of enterprise profit maximization.The steel production of steel enterprises is not only affected by the supply and demand,but also the price signals of bulk commodities such as steel prices and iron ore prices.Against the background of stable global steel demand,it is not clear how sensitive steel companies are to signals of raw material iron ore price fluctuations,how iron ore price fluctuations affect the production of steel companies,and whether there are differences in the impact on steel companies of different scales.Therefore,this thesis uses the monthly steel production of listed companies in the domestic steel industry and the monthly domestic and international iron ore price indices to construct panel data to study the impact of iron ore price fluctuations on steel enterprises. |
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