国际原木、锯材、胶合板与化学木浆价格波动特征研究  

Study on the Characteristics of International Log, Sawnwood,Plywood and Chemical Wood Pulp Price Fluctuations

作　　者：王芳[1] 黄雨 田明华[1] 马爽 杜磊 WANG Fang;HUANG Yu;TIAN Minghua;MA Shuang;DU Lei(School of Economics and Management,Beijing Forestry University,Beijing 100083;Research Center for Rural Economy,Ministry of Agriculture and Rural Affairs,Beijing 100810)

机构地区：[1]北京林业大学经济管理学院,北京100083 [2]农业农村部农村经济研究中心,北京100810

出　　处：《林业经济》2021年第9期55-74,共20页Forestry Economics

基　　金：国家社会科学基金一般项目“‘双循环’新格局下我国木质林产品高质量发展研究”(编号:21BJY196)。

摘　　要：中国是世界木质林产品贸易第一大国,原木、锯材、化学木浆进口和胶合板出口均对国际市场高度依赖,极易受到国际市场价格波动的影响,揭示国际木质林产品价格波动特征和规律,预测价格走向以规避价格波动风险,具有重要的现实意义。文章基于国际原木、锯材、胶合板与化学木浆价格的月度数据,构建ARCH族模型与H-P滤波模型,探讨了这4种木质林产品国际价格波动特征。结果表明:(1)4种木质林产品价格波动较大,均具有集聚性与持续性特征,集聚性由强到弱依次为锯材(0.13)、化学木浆(0.12)、原木(0.08)、胶合板(0.04),持续性由强到弱依次为胶合板(0.95)、原木(0.91)、化学木浆(0.85)、锯材(0.78),表明锯材价格波动对冲击的反应最为迅速,胶合板价格受冲击最为持久,并且国际原木与胶合板价格波动存在风险报酬,风险溢价系数较高,分别为7.05(原木)、1.67(胶合板)。故应做好国际木质林产品价格监测工作,健全信息体系建设,借助木质林产品期货等避险交易工具强化市场风险预警机制。(2)4种木质林产品价格波动均具有非对称性,其中,利空消息对国际原木、锯材、胶合板价格波动的冲击更大,利好消息对国际化学木浆价格波动的冲击更大。因此,原木、锯材进口应在预测利空消息发生前延时进口,胶合板出口应降低产品的可替代性以防范价格下跌风险,而化学木浆进口则应在每一次价格上涨的初期适当增加进口以减少价格持续上涨带来的冲击。(3)4种木质林产品价格之间呈动态变化的正相关,相关性由大到小依次为国际原木与锯材(0.37)、原木与胶合板(0.28)、锯材与胶合板(0.20)、锯材与化学木浆(0.18),各类价格在整个样本区间内波动上升,处于新一轮周期的上升环节,表明国际原木价格波动风险最高,其价格上涨还会引起国际锯材、胶合板、化学木浆价格的上涨。应与�China is the largest trading country of woody forest products in the world. The imports of log,sawnwood, chemical wood pulp and the exports of plywood are highly dependent on the international market,which are easily affected by price fluctuations in the international market. So it is of great practical significance to reveal the characteristics and laws of international woody forest products price fluctuations and predict the direction of prices in order to avoid the risk of price fluctuations. Based on the monthly data of international log, sawnwood,plywood and chemical wood pulp prices, ARCH model and H-P filtering method are established to reveal the characteristics of international woody forest products price fluctuations for the first time. The results show that:(1)International woody forest products price are more fluctuation, and all of them have significant agglomeration and continuity. The orders of agglomeration from strong to weak are from sawnwood(0.13), chemical wood pulp(0.12), log(0.08)to plywood(0.04), and the orders of continuity from strong to weak are plywood(0.95), log(0.91), chemical wood pulp(0.85)to sawnwood(0.78), indicating that the price fluctuations of sawnwood have the quickest response to shock, and the price fluctuations of plywood have the longest response to shock. Moreover, there are risk premium in the price fluctuations of international log and plywood, and the risk premium coefficients are high, 7.05(log)and 1.67(plywood)respectively. Therefore, it is necessary to do a good job in monitoring the prices of international woody forest products, improve the construction of information systems, and strengthen the market risk early warning mechanism with the help of hedging trading tools such as woody forest product futures.(2)The price fluctuations of each international woody forest products are asymmetrical, among them, "bad" news have a greater impact on the price fluctuations of international log,sawnwood and plywood, and "good" news have a greater impact on the price fluctuatio

关 键 词：木质林产品 价格波动 ARCH族模型 H-P滤波模型 

分 类 号：F416.88[经济管理—产业经济] F416.7