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

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。应与澳大利亚、刚果、所罗门群岛等木材供给大国建立长期协议价格谈判机制,并统筹考虑国内外木材来源问题,构建国内国际双循环相互促进的新发展格局以应对国际市场冲击,从而规避国际市场价格波动风险。文章首次尝试揭示国际木质林产品价格波动规律,并设计了按月滚动预测模型,实现了对价格的短期有效预测,使参与贸易的经济主体能主动管控价格波动带来的潜在风险。

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 fluctuations of international chemical wood pulp. Therefore, the imports of log and sawnwood should be delayed ahead of "bad" news, the exports of plywood should reduce the substitutability of products to guard the risk of price decline, and the imports of chemical wood pulp should be increased at the initial stage of price rise to reduce the impact of rising prices.(3)The prices of subdivided products are positively correlated with each other and the change quite dynamically.The orders of relevance from strong to weak are from log and sawnwood(0.37), log and plywood(0.28),sawnwood and plywood(0.20)to sawnwood and chemical wood pulp(0.18). In addition, the prices of international woody forest products show an upward trend during the whole sample interval. And now, they are in a new upward cycle. Obviously, the price fluctuating risk of log is the highest, and its price rise will also cause the prices rise of sawnwood, plywood and chemical wood pulp. Therefore, a long-term agreement price negotiation mechanism should be established with major timber suppliers such as Australia, Congo and Solomon Islands, and we need consideration to co-ordinate all lumber resources, and build the developing-mode of circulation between domestic and international to deal with international shocks and avoid the risk of prices. The paper attempts to reveal the laws of price fluctuations, and designs a monthly rolling forecast model to achieve effective short-term price forecasts, so that economic entities participating in trade can actively grasp the potential risks brought by price fluctuations.