Cointegration and causal relationships among steel prices of Mainland China, Taiwan, and USA in the presence of multiple structural changes
學年 101
學期 2
出版（發表）日期 2013-04-01
作品名稱 Cointegration and causal relationships among steel prices of Mainland China, Taiwan, and USA in the presence of multiple structural changes
作品名稱（其他語言）
著者 Nieh, Chien-Chung; Yau, Hwey-Yun; Hung, Ken; Ou, Hong-Kou; Hung, Shine May
單位 淡江大學財務金融學系
出版者
著錄名稱、卷期、頁數 Empirical Economics 44(2), pp.545-561
摘要 Variation in the price of steel is an important factor to take into consideration when discussing cost control and management decisions in the construction industry. We employ various conventional and advanced econometrics methods to examine the interrelationships of steel prices in three related markets during the time period June 2002 to May 2010: Mainland China (CH), Taiwan (TW), and the United States (US). We adopt the Gregory and Hansen (GH) test and regime-switching (RS) model for cointegration, both of which accommodate endogenous structural break(s), to produce a more accurate analysis of a period in the presence of structural change(s). The empirical result of the RS cointegration test with respect to multiple structural breaks suggests a long-run equilibrium relationship among the three variables considered. This finding differs from the result of the GH test but confirms the result of the conventional Johansen test. Furthermore, the results of the Granger causality test indicate that both CH and US steel prices have great influence on the TW steel price; the Taiwanese steel market is closely linked with China and US steel markets in the long run.
關鍵字 Steel price; Cointegration; Structural change; Granger causality; Construction management
語言 en_US
ISSN 1435-8921
期刊性質 國外
收錄於 SSCI
產學合作
通訊作者
審稿制度 是
國別 DEU
公開徵稿
出版型式 紙本
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