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https://doi.org/10.1016/j.resourpol.2022.102600

has been cited by the following article:

• TITLE: Time-Varying Effects and Risk Spillover of EPU and TPU on Steel Prices: A TVP-VAR-DY Analysis

  AUTHORS: Han Wu

  KEYWORDS: Steel Price, EPU, TPU, TVP-VAR-DY Model

  JOURNAL NAME: Open Journal of Applied Sciences, Vol.16 No.4, April 22, 2026

  ABSTRACT: We explore the effects of EPU and TPU, the main raw material prices (coke and iron ore), the exchange rate of the second raw material (iron ore) importing country to China (CNYAUD) on steel prices, and the risk spillover relationship between them by using a TVP-VAR-DY model to cover the period 2011-2021. The results of TVP-VAR show that EPU is the main reason affecting steel price volatility, and this effect is greatest when China enters the new normal period and the European debt crisis reaches its peak. Coke prices mainly have a negative impact on steel prices, whereas CIOPI has the opposite effect. The spillover results show that the volatility spillover between variables has a clear time-varying character, with EPU and TPU being the main risk spillovers. Risk transmission is most significant from EPU to CIOPI, followed by EPU to CNYAUD. Our results may indicate that EPU is the main factor influencing steel prices, and this effect affects CIOPI through CNYAUD. The result may help policymakers design suitable financialization policies for the steel market or help investors hedge against financial risks in energy commodity markets.