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Testing for Granger-causality in the Finnish roundwood market.

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Title: Testing for Granger-causality in the Finnish roundwood market.
Author: Toppinen, Anne
Citation: Silva Fennica. 1997. 31(2): 225–232.
ISSN: 0037-5330
Abstract: The existence and direction of causal relationships between the time series for the Finnish roundwood market for the period 1960–1994 is tested. Using simple bivariate analysis, we found evidence that for both logs and pulpwood, the lagged prices are helpful in forecasting quantity for the next year, but not vice versa. Sawlog stumpage prices have significantly Granger-caused pulpwood prices over the business cycles, but the effect has diminished towards the present time. For quantities traded, the direction of causality was rather from pulpwood to sawlogs. The consistency of bivariate test results was checked by the Granger-causality tests within trivariate VAR-models for both markets, and the results were found to be fairly similar to bivariate tests. The price fluctuations in the international markets for forest products have been found to be carried to domestic wood markets dominantly via the pulpwood part of the market.
URI: http://hdl.handle.net/1975/8521
Date: 1997

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