Contemporaneous causality among price indices of ten major steel products

The problem of dynamic relationships among the price indices of 10 major steel products – the rebar, steel wire, plate, hot rolled coil, cold rolled plate, galvannealed sheet, seamless tube, welded tube, section and narrow strip – is addressed in the present work for the Chinese market from 2011M7 to 2021M4. For examination of contemporaneous causal links among the 10 series, we use data on a daily basis and combine the vector error correction model and directed acyclic graph. This analysis is done using both the Peter and Clark and linear non-Gaussian acyclic model algorithms. With the exception of the price series for steel wire, each of the 10 series is part of cointegration relationships according to the…