Title Page
Abstract
Contents
Chapter 1. Introduction 13
1.1. Study Background 13
1.1.1. Overview of Steel Sector 15
1.1.2. Historical Trend of Global Steel Market Development 23
1.2. Literature Review on Steel and Iron Ore Sectors 27
1.3. Organization of Thesis 43
Chapter 2. Growth and Development of Chinese Steel Sector 45
2.1. Globalization of Chinese Steel Supply 47
2.1.1. Growth of China as the largest producer 47
2.1.2. Overcapacity in steelmaking 51
2.2. Evolution of Iron Ore Market in China 56
2.2.1. Heavy reliance of China on iron ore imports 56
2.2.2. Pricing Regime Change and Financialization 62
Chapter 3. Approaches to Measure the Impact of China 66
3.1. Research Frameworks 66
3.2. Review on Econometric Methodologies for Structural Analysis 73
3.2.1. Concept of Structural Analysis 73
3.2.2. Econometric Methodologies 76
Chapter 4. Impact of Chinese Supply on the Restructuring(M&A) in the Steel Sector 85
4.1. Introduction 85
4.2. Literature Review 95
4.3. Data and Methodology 100
4.3.1. Data 100
4.3.2. Methodology 103
4.4. Empirical Results 106
4.4.1. Unit root test 106
4.4.2. Model A: Impact of crude steel production 108
4.4.3. Model B: Chinese output vs. Non-Chinese output 112
4.4.4. Regional M&A pattern 119
4.4.5. Robustness test 121
4.5. Discussion 125
Chapter 5. Structural Determinants of Real Iron Ore Prices: Evidence from Chinese Demand 129
5.1. Introduction 129
5.2. Literature Review 136
5.3. Data and Methodology 142
5.3.1. Data 142
5.3.2. Methodology 146
5.4. Empirical Results 151
5.4.1. Descriptive analysis and unit root tests 151
5.4.2. SVAR: Chinese Demand Impact 154
5.4.3. SVAR: Chinese Large-Medium vs. Small steelmakers 159
5.4.4. Robustness test 165
5.5. Discussion 168
Chapter 6. Price Discovery in Chinese Iron Ore Futures Market 171
6.1. Introduction 171
6.2. Literature Review 176
6.3. Data and Methodology 180
6.3.1. Data 180
6.3.2. Methodology 187
6.4. Empirical Results 191
6.4.1. Unit root test 191
6.4.2. DCE vs COMEX 192
6.4.3. DCE vs SGX 197
6.4.4. SGX vs. COMEX 201
6.4.5. DCE vs. SPOT 204
6.5. Discussion 207
Chapter 7. Summary and Conclusion 210
7.1. Summary of Results 210
7.2. Conclusion 218
Bibliography 222
요약(국문초록) 239
Table 1. Description of value chains exist within the steel industry 21
Table 2. Literature on steel and iron ore: Price 29
Table 3. Literature on steel and iron ore: Fundamental 30
Table 4. Literature on steel and iron ore: Structure 32
Table 5. Definitions and summary statistics of the variables 102
Table 6. Results of unit root tests for ARDL 107
Table 7. Critical Value of ARDL test: Model A 108
Table 8. Long run estimations: Model A 110
Table 9. Diagnostic Statics: Model A 111
Table 10. Critical Value of ARDL test: Model B 112
Table 11. Long run estimations: Model B 114
Table 12. Diagnostic Statics: Model B 115
Table 13. Long run estimation of regional level 120
Table 14. Long run estimation with price data 122
Table 15. Long run estimation with CRISIS treatment 123
Table 16. Long run estimation with not-loggged data 124
Table 17. Variable Definition for SVAR models 145
Table 18. Descriptive statistics of variables for SVAR models 152
Table 19. Unit root test result for SVAR model 153
Table 20. Variance decomposition of Model 1 158
Table 21. Variance decomposition of Model 2 164
Table 22. Variance decomposition of Model 1(2010-2021) 167
Table 23. Futures Contract Specification of Iron Ore 181
Table 24. Multiple structural break tests for DCE price series 185
Table 25. Results of unit root tests for price discovery 191
Table 26. Results of VECM, CS, and IS: DCE vs. CMX 196
Table 27. Results of VECM, CS, and IS: DCE vs. SGX 200
Table 28. Results of VECM, CS, and IS: SGX vs. CMX 203
Table 29. Results of VECM, CS, and IS: DCE vs. SPOT 206
Fig. 1. Steel use by sector (2016, percent) 15
Fig. 2. Comparison of value added of selected industries 17
Fig. 3. Value Chain within Steel Industry and Backward/Forward linkage effects of steel industry 19
Fig. 4. Location of steel mills in the world 22
Fig. 5. Historical trend of steel industry develpoment 26
Fig. 6. Trend of crude steel production in China and global, steel and iron ore price 46
Fig. 7. World crude steel production trend 50
Fig. 8. Trend of global steel capacity utilization 53
Fig. 9. Production volume and share of Australia/Brazil in the global output 60
Fig. 10. Iron ore production, import volume, and import dependency of China 61
Fig. 11. Channels of the steel industry impact (Total impact = Direct + Indirect + Induced impacts) 67
Fig. 12. Research concept and framework of this thesis 69
Fig. 13. Crude steel production, export and import in China 91
Fig. 14. Historical M&A deal counts and target SIC codes (1991~2018) 101
Fig. 15. Plots of CUSUM and CUSUM square (Model A) 117
Fig. 16. Plots of CUSUM and CUSUM square (Model B) 118
Fig. 17. Impusle response of iron ore price for shocks in Model 1 156
Fig. 18. Impusle response of iron ore price for shocks in Model 2 161
Fig. 19. Impusle response of iron ore price for shocks in Model 1 (2010-2021) 166
Fig. 20. DCE iron ore futures prices (left, US$/ton) and trading volume (right, aggregate contracts(thousand)/day) 183