The Research Of Rebar Futures And Upgrading Of Steel Industry

Steel, as an important construction material, is significantly related to a country’s economic lifeline, but raw materials made for steel mostly depend on imports, and recently China’s steel industry has suffered huge losses because of iron ore price fluctuation. With the smooth operation of iron ore futures, currently China’s steel industry chain futures has taken shape and gradually formed the whole industry chain futures, which contains upstream of coking coal 、coke 、iron ore futures and downstream of rebar、wire rod、hot-rolled coil futures. How to avoid risks of futures and spot markets, lock costs and profits, and implement upgrading mode of steel industry—“finance+ manufacture” become focused research questions.This paper constructs value chain and diamond model based on futures factor which lay theoretical supports for steel futures service for upgrading of steel industry. By Johansen test、VAR、VEC、impulse response analysis and variance decomposition analysis to explain the interaction effects of domestic-foreign steel futures price, conclusions show that Shanghai rebar futures price discovery function has been initially apparent but still a limited role. This paper estimates domestic rebar futures hedging ratio with static model—Naive 、OLS、B-VAR、B-VEC and dynamic model—VEC-BGARCH, and also reckons hedging performance by minimum variance principle. The result demonstrates that dynamic model which takes time-varying characteristics of price series into consideration has the highest hedging performance. Based on empirical results, this article put forward de velopment proposals for different enterprises on the steel industry chain to take advantage of futures to service for spot. At last, the article points out the shortage and the further research direction in the future.