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.