Price transmission between products at different stages of manufacturing in forest industries

The theory of demand and supply implies a positive relationship, or “price transmission” between the prices of products at different stages of manufacturing. This relationship was investigated with quarterly prices of softwood stumpage in the US South, and national prices of forest products, from 1977 to 2002. All prices, net of inflation, were found to be nonstationary and there was no evidence of co-integration between prices. Vector autogressive models, augmented by Granger causality tests and multiplier analysis showed that there was a one-to-one permanent positive response of the southern sawtimber stumpage price to a permanent change in the national lumber price. There was also a one-third permanent positive response of the national paper price to a permanent change in the national pulp price. There was no relation between regional pulpwood prices and national pulp or paper prices. When price transmission was significant, the full adjustment took about 2 years.     

食品安全丑闻报道与产销价格传导——基于中国猪肉市场的经验研究

本文利用主流媒体对猪肉质量安全事件的新闻报道构造食品安全丑闻报道指数,首次从媒体报道视角分析食品安全丑闻对中国猪肉供应链产销价格传导的影响。平滑转换误差修正模型检验结果表明:(1)食品安全丑闻报道是决定产销价格传导关系的门槛变量,当食品安全丑闻报道指数处于门槛值以内时,产销价格传导表现为线性关系,超出门槛值以后,则表现为非线性关系,但更多时候表现为非线性关系;(2)食品安全丑闻报道对产销价格具有非对称冲击效应,生猪价格比猪肉价格对冲击的反应程度更大、持续时间更长。这种非对称冲击效应不仅会打破产销价格波动的固有规律,也会加剧供应链上福利分配不均衡,处于弱势地位的养殖户更容易遭受福利损失。进一步采用向量自回归模型进行脉冲响应分析,结果仍然支持上述结论。     

利用CEM木材期货规避针叶材进口价格风险的可行性分析——基于月度统计数据的实证分析

CEM木材期货以产自北美的SPF锯材为合同标的物。过去一直认为CEM木材期货价格对中国的木材价格不产生影响,但是协整分析表明,滞后3个月的CEM木材期货价格与2012年5月以来的针叶原木进口价格之间存在长期均衡关系,说明CEM木材期货价格是针叶原木进口价格的格兰杰原因。考虑到进口针叶原木价格与中国木材市场价格综合指数高度相关,木材进口企业利用CEM木材期货规避针叶材进口中的价格风险是可行的。     

Threshold cointegration and spatial price transmission when expectations matter

We examine the performance of the threshold cointegration approach, specifically Band‐TVECM, to price transmission analysis in an explicit context where trade decisions are made based on expectation of final prices, because trade takes time. We find that, following a standard inference strategy, a large portion of three‐regime cases are not identified as such. Results show that transfer costs are systematically underestimated, particularly in three‐regime models. The speed of price transmission is also biased in three‐regime models. Furthermore, inferences about occurrence of trade are poor, with estimated models suggesting far lower market integration than is true in the data‐generating process.     

Stumpage prices in Sweden 1909–2012: Testing for non-stationarity

The price of timber stumpage is one of the few natural-resource rents that can be directly observed as a market price. Rules for optimal timber harvesting under uncertainty have been found to depend on whether the timber rent price is non-stationary or stationary. In this study we extend previous research by Hultkrantz (1995) that tested for unit-root with an exogenous break point in Swedish stumpage prices from 1909 to 1990, employing data up to 2012, hence for 104 years, and unit-root tests with endogenously selected break points. We find support for a structural level break at the end of WW2 and that non-stationarity can be rejected. We show that this is a robust conclusion. There is thus no sign of a new break in the extended recent time period and no signal of a secular increase of timber resource scarcity.     

Price shock transmission: evidence from the wheat‐bread market value chain in Ethiopia

This study assesses the degree of vertical price transmission along the wheat‐bread value chain in Ethiopia. This is pursued by applying a vector error correction model and an impulse response analysis using monthly price data for the period 2000–2015. Our analysis considers transmission of price shocks across different market levels, including from the international and domestic wheat grain markets at the upstream to the domestic wheat bread market at the downstream of the value chain. The empirical findings indicate that significant cointegration exists across prices of the different market stages. There is a transmission from international prices to domestic prices at downstream markets, in particular to flour and bread prices. Prices at upstream markets are largely influenced by the domestic wholesale market. In general, the speed of adjustment is quite slow with a half‐life of about one year for restoring the equilibrium price relationship. As price margins between the different market stages in the value chain have substantially decreased in the last 15 years, higher transmission, and thus exposure to international market shocks, can be expected in the future. The results also show that causal relationships exist between prices at different market stages—with the wholesale market identified as the key market level where prices and price expectations are formed.     

Market Power in the Philippine Retail and Processed Food Industry

Various models have been employed to analyze market power in the food industry but none has explored combining these models to reinforce their strengths and minimize their weaknesses. This article illustrates an application of these models in a multistage framework using the case of the Philippine retail and processed food industry. Price transmission is examined in the first stage of analysis using cointegration and price asymmetry models. Conjectural variation and bargaining models are employed in the second and third stages of analysis. Results indicate that market power exists in industries where price transmission is asymmetric.     

Price transmission,asymmetric adjustment and threshold effects in the cotton supply chain: a case study for Vidarbha,India

This study examines price transmission asymmetries in Vidarbha's (India) cotton supply chain from 2002 to 2012. The analysis takes account of thresholds in price adjustments toward their long‐run equilibrium. The first stage considers the price dynamics between international and Indian domestic cotton prices. The second stage considers price transmission from domestic to farm gate cotton prices in Vidarbha. Results from the first stage indicate that Indian and international cotton markets are well‐integrated. In contrast, the second stage reveals significant threshold‐type nonlinearities as well as asymmetries in price transmission between domestic and farm gate prices. The short‐run dynamics suggest that the pass‐through from domestic to farm gate prices is larger when domestic prices decrease than when they increase. Moreover, back of the envelope calculations suggest that the loss in revenue for a typical farmer from a decrease in domestic price is larger than the gains from an increase in domestic price of the same magnitude. The implication is that traders benefit from price fluctuations at the expense of farmers. Evidence from fieldwork in Vidarbha suggest that asymmetries revealed in this analysis may be linked to trader's market power and inadequate market information among farmers.     

Adaptive thinning strategies for mixed-species stand management with stochastic prices

This paper presents an efficient and flexible approach of determining optimal thinning strategies for mixed-species stands with stochastic timber prices. The approach aims to determine the optimal stock of each species to be maintained in the stand conditional on the observed stand state and timber prices, whereas thinning intensity is given by the difference between the existing and the optimal stocks. For demonstration purpose, the approach is applied to determine the optimal thinning strategies for an example stand of Scots pine (Pinus Sylvestris L.) and Norway spruce (Picea abies L. Karst.) in northern Sweden. The optimal stock of each species is formulated as a parametric function of stand age and stumpage prices of the respective species. A reservation price function is constructed to determine the optimal time of clearcut based on the observed stand state and timber prices. The parameters of the optimal stock-level and reservation price functions are determined by maximizing the expected present value of the stand. The results indicate that using the optimal stock-level function approach can significantly improve the thinning decisions for mixed species stand with stochastic timber prices.     

我国鸡蛋价格波动传导的影响因素分析——基于非对称的研究视角

[目的]文章采用鸡蛋价格的周度批发和零售数据,从成本、替代品两个维度探讨鸡蛋价格波动的影响因素和非对称传导特征。[方法]通过滚动回归的方式探讨非对称传导特征的动态变化,并进一步探讨了鸡蛋批零价格之间的相互影响和非对称传导特点。[结果]成本、替代品价格变动对与鸡蛋批零价格具有正向影响和非对称特征,但在静态的线性回归模型中并不明显。鸡蛋批发价格受成本价格变动的影响更大,而零售价格受替代品价格变动的影响更大。在动态的滚动回归模型下,成本、替代品价格对鸡蛋价格波动具有十分明显的时变非对称特征,但这种非对称传导特征并不一致。鸡蛋批发价格早期对零售价格具有正向的非对称传导,但近年来趋向于对称传导。鸡蛋零售价格对批发价格总体具有负向的非对称传导特征,零售价格下降对批发价格的影响更大。[结论]需要建立蛋鸡产业成本—价格监测预警系统,充分发挥产业技术平台、行业协会、学会等研究机构在生产决策中的指导作用。不断完善鸡蛋供应链建设,增强调控与监管政策的灵活性与创新性。     

Use of composite forest commodity price indices for cointegration analysis

Time series data on forest product prices used in research is frequently the product of temporal, spatial as well as product aggregation. This paper analyzes the implications of the use of composite commodity price indices in cointegration analysis and tests the validity of the assumptions underlying it. It tests for the presence of a common stochastic trend in disaggregated softwood lumber product price series in multiple US markets, a validity condition supported by the Generalized Composite Commodity Theorem (Lewbel, 1996. Aggregation without separability: a generalized composite commodity theorem. The American Economic Review 86(3), 524–543.). The presence of a common stochastic trend in softwood lumber product price series tested is consistently rejected by Johansen's (1988. Statistical analysis of cointegration vectors. Journal of Economic Dynamics and Control 12(2–3), 231–254.) multivariate cointegration analysis. Together with rejection of non-stationarity property for a significantly large number of price series tested, the results highlight the significance of the assumptions underlying the use of composite forest commodity price indices for cointegration analysis.     

林权流转价格及其影响因素的实证研究——基于浙江省342个样本的分析

利用2007~2012年浙江省342宗林权流转数据,运用全对数线性回归模型研究木材市场价格、林分质量等关键因素对林权流转价格的影响。结果表明:木材市场价格、单位面积蓄积量和流转面积是影响流转价格的关键因素,而区域虚拟变量、便利程度虚拟变量及其交叉虚拟变量也对林权流转价格产生了不同程度的显著影响;流转期限对流转价格的影响不显著,林地价值在林权流转中没有得到体现。因此,建议确保经营主体的林权并加强森林抚育林区道路建设与改善的政策扶持。     

Shadow pricing diversity in U. S. national forests

Tobit estimation of the market value of timber sales in national forests of North Carolina demonstrates the important effect of stand diversity on the formulation of bid prices for mixed-species timber tracts. The hedonic model generates a shadow price for diversity according to changes in bid prices, an effective shift in the demand curve for auctioned tracts due to stand diversity attributes. This approach contrasts with traditional shadow price analyses that focus on the supply effects of environmental constraints. Results are corrected for the effects of bidder participation, market conditions, production costs, and other stand attributes. Econometric results demonstrate that stand heterogeneity is a highly significant factor influencing the market value of timber sales from national forests of the Appalachian region. Greater heterogeneity results in lower bid prices for timber sales, indicating a positive shadow price for maintenance of stand diversity.     

Monetary Impacts and Overshooting of Agricultural Prices in an Open Economy

This article's focus is on the time adjustment paths of the exchange rate and prices in response to unanticipated monetary shocks. First, we expand the theoretical specification of the overshooting hypothesis by generalizing Dornbusch's model to include a third sector (i.e., agricultural prices). Second, we employ Johansen's cointegration test along with a vector error correction model to investigate whether agricultural prices overshoot in an open economy. The empirical results indicate that agricultural prices adjust faster than industrial prices to innovations in the money supply, affecting relative prices in the short run, but strict long-run money neutrality does not hold.     

When the theory is not enough - valuation of forest resources with “efficiency” prices in practice

In resource accounting, simple theoretical models built upon efficiency prices have been developed to capture changes in social welfare generated by natural resources. We examine whether changes in market stumpage prices, as proxies for efficiency prices, have actually reflected changes in the physical timber inventories in Finland and Sweden during the past seventy years. Cointegration and unit root tests show that no long-term equilibrium relationships exist between the timber prices and stocks. After identifying a potential reason for the result, the basic theoretical growth model is slightly elaborated to provide a more appropriate framework for measuring net domestic product for the forest sector.     

Local polynomial fitting and spatial price relationships: price transmission in EU pork markets

We study price transmission processes within EU pork marketsafter the implementation of the EU single market in 1993. Wecompare results derived from non-parametric regressions withthose obtained using alternative non-linear threshold models.Both techniques support the hypothesis that prices are transmittedacross spatially separate EU pig markets and provide evidencefor asymmetric price adjustments. They also suggest the existenceof a range of price differentials where equilibrating priceadjustments are less intense. Non-parametric techniques oftensuggest a higher degree of price transmission than that impliedby threshold models.     

Application of the generalized Faustmann model to uneven-aged forest management

In this paper, a generalized Faustmann model is developed for uneven-aged management to allow the number of years and the level of residual growing stock to vary from one cutting cycle to the next. Comparative static analyses are conducted to determine the effect of changes in interest rate, stumpage price of the trees selected for harvest, the stumpage value of the residual growing stock, and the future land value on the decision variables. The model is then applied to study the uneven-aged management of a loblolly-shortleaf pine stand in south central U.S. to determine the length of the cutting cycle and the level of residual growing stock for the first cutting cycle as well as for a case involving four cutting cycles. Sensitivity analyses reveal that for the uneven-aged loblolly-shortleaf pine stand both the length of the cutting cycle and the level of the residual growing stock are very sensitive to changes in land value in the future, in the stumpage prices of trees selected for harvest, in the stumpage prices of the residual growing stock, and in the interest rate.     

Asymmetric transmission between factory and wholesale prices in fiberboard market in Korea

This paper extends the estimation of price relationships in wood processing and empirical assessment of asymmetric price transmission by incorporating time lags in both explanatory and dependent variables. Each of the models developed and estimated in this article reveals the existence of asymmetric price transmission between factory and wholesale prices of fiberboard in Korea. Estimation results indicate that wholesalers earn additional profits by exploiting price fluctuations in the markets. The empirical findings in this study suggest the potential for lower wholesale prices of fiberboard with more competition in wholesale marketing.     

Marketing margins and price transmission on the Hungarian beef market

There is a wealth of literature on farm-retail price spread for different commodities and countries. However, research on price transmission and marketing margins in the transition economies is still limited. The paper analyses two specific aspects of transition: the larger probability of asymmetric price transmission and structural changes in the case of Hungarian beef chain. The article identifies the date of structural break applying the Gregory and Hansen procedure with recursively estimated breakpoints and ADF statistics. Exogeneity tests reveal the causality runs from producer to retail prices. Homogeneity is rejected, suggesting a mark-up pricing strategy. Price transmission analysis suggests that, despite the common belief, price transmission on the Hungarian beef meat market is symmetric on both long and short run.     

Estimating the long-run impact of forest fires on the eucalyptus timber supply in Galicia,Spain

Using annual data, we have estimated the timber harvest of eucalyptus in the region of Galicia (Spain). The explanatory variables considered were price, pulp exports, and salvage timber. The latter variable was used as a proxy for forest fires. The problems related to spurious regression were addressed by applying the bounds testing approach to cointegration, and confidence intervals were constructed using the bootstrap technique. The results indicate that pulp exports have a positive effect on the harvested timber volume. Moreover, we find that salvage timber positively affects the timber supply. This result indicates that there is no substitution between salvage timber and non-damaged timber. It also suggests that the natural expansion of the eucalyptus in Galicia compensates for the destruction caused by forest fires, avoiding supply shortages. On the other hand, and according to the economic law of supply, the timber price shows a positive effect.