Identifying long-run and short-run relationships in the European Union softwood market

Kód výsledku v IS VaVaI

<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F62156489%3A43410%2F22%3A43921925" target="_blank" >RIV/62156489:43410/22:43921925 - isvavai.cz</a>

Výsledek na webu

<a href="https://doi.org/10.1016/j.forpol.2022.102821" target="_blank" >https://doi.org/10.1016/j.forpol.2022.102821</a>

DOI - Digital Object Identifier

<a href="http://dx.doi.org/10.1016/j.forpol.2022.102821" target="_blank" >10.1016/j.forpol.2022.102821</a>

Jazyk výsledku

angličtina

Název v původním jazyce

Identifying long-run and short-run relationships in the European Union softwood market

Popis výsledku v původním jazyce

We analyzed the relationship of the softwood market in chosen EU countries. The long-run relationship was tested using the multivariate Johansen procedure and bivariate Engle-Granger cointegration test. Precedence and causality of markets in the short-run were tested using the weak exogeneity test for cointegrated markets and the Granger causality test for not cointegrated. The material consists of quarterly sawlog and pulpwood delivery prices (spruce and pine) covering 2005 to 2020. Using the Zivot-Andrew and Chow test, we identify a structural break in price series between 2007 and 2009 (breakpoints differ between markets) accruing during the great financial crisis. Results indicated that seven of seventeen sawlogs and nine of fifteen pulpwood markets were cointegrated. Long-term cointegration relationship was stated between neighboring markets: Austria, Czechia, Germany, Slovakia, and in the case of pulpwood, additionally between Finland and Germany and Czechia. In short-run causality analysis, sawlog markets in Austria, Germany, and Finland were identified as leaders and Czechia, Estonia, Poland, and Slovakia as followers. In pulpwood markets, leading prices were identified in Austria, Czechia, and Germany, and following prices in Poland, Sweden and Lithuania.

Název v anglickém jazyce

Identifying long-run and short-run relationships in the European Union softwood market

Popis výsledku anglicky

We analyzed the relationship of the softwood market in chosen EU countries. The long-run relationship was tested using the multivariate Johansen procedure and bivariate Engle-Granger cointegration test. Precedence and causality of markets in the short-run were tested using the weak exogeneity test for cointegrated markets and the Granger causality test for not cointegrated. The material consists of quarterly sawlog and pulpwood delivery prices (spruce and pine) covering 2005 to 2020. Using the Zivot-Andrew and Chow test, we identify a structural break in price series between 2007 and 2009 (breakpoints differ between markets) accruing during the great financial crisis. Results indicated that seven of seventeen sawlogs and nine of fifteen pulpwood markets were cointegrated. Long-term cointegration relationship was stated between neighboring markets: Austria, Czechia, Germany, Slovakia, and in the case of pulpwood, additionally between Finland and Germany and Czechia. In short-run causality analysis, sawlog markets in Austria, Germany, and Finland were identified as leaders and Czechia, Estonia, Poland, and Slovakia as followers. In pulpwood markets, leading prices were identified in Austria, Czechia, and Germany, and following prices in Poland, Sweden and Lithuania.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

40102 - Forestry

Projekt

—

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2022

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Forest Policy and Economics

ISSN

1389-9341

e-ISSN

1872-7050

Svazek periodika

143

Číslo periodika v rámci svazku

October

Stát vydavatele periodika

NL - Nizozemsko

Počet stran výsledku

8

Strana od-do

102821

Kód UT WoS článku

000861335000002

EID výsledku v databázi Scopus

2-s2.0-85136482067