Title:
Price Cointegration in the Austrian Sawmill Industry with a Focus on By-Products
Author(s):
Fuhrmann, M., Dißauer, C. , Strasser, C., Schmid, E.
Document(s):
Paper
Slide presentation
Abstract:
Vertical price cointegration was analyzed in the Austrian sawmill industry by focusing on by-products. Hence, monthly price data for sawlogs, pulpwood, sawnwood, wood chips, sawdust, wood pellets and particle board were used for the following statistical tests: (1) The Johansen cointegration test was applied to all the time series combinations. (2) Cointegrated time series were tested for Granger causality. (3) Price influences resulting from (1) and (2) were used to estimate Vector Error Correction Models (VECM) for sawdust and wood chip prices. This enabled us to analyze the long-term and short-term behavior of cointegrated time series. Results showed vertical price cointegration within the sawmill industry (sawlogs and sawnwood) as well as influences of sawmill by-products on sawnwood prices. Furthermore, the wood pellet market is influencing sawmill by-product and sawnwood prices as well. VECM estimations suggest that sawdust prices are only influenced by pellet prices and thus recover faster from price shocks (23.5% per month). In contrast, wood chip prices are highly interlinked and thus recover only by 7.8% per month after price shocks.
Keywords:
sawdust, timber, wood chip, commodity market
Topic:
Sustainable Bioeconomy: Impacts and Policies
Subtopic:
Resource Efficient Bioeconomy
Event:
29th European Biomass Conference and Exhibition
Session:
4DO.5.4
Pages:
1122 - 1126
ISBN:
978-88-89407-21-9
Paper DOI:
10.5071/29thEUBCE2021-4DO.5.4
Price:
FREE
