A Maximum Likelihood Cointegration Analysis of Canadian Lumber Exports

Rakhal Sarker

29 citations0/0 files storedCanadian Journal of Agricultural Economics/Revue canadienne d agroeconomie

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Monetary Policy and Economic Impact Global trade and economics Economics of Agriculture and Food Markets

Abstract

Johansen 's cointegration analysis is used to investigate causal relationships between Canadian lumber exports, U.S. lumber price, U.S. housing starts and the Canada‐U.S. exchange rate. The results suggest that there is only one stable equilibrium relationship among these variables in the long run. Forecast error variance decomposition and impulse responses from a vector error‐correction model are used to examine the short‐run dynamic relationships among the variables. The results suggest significant dynamic relationship among the variables. The results also indicate that the pass‐through of exchange rate is incomplete in the long run and that the effects of exchange rate on lumber exports vary between the short run and long run L'analyse de cointégration de Johansen est utilisée pour examiner les rapports de cause à effet entre les exportations de bois d'oeuvre canadien, le prix du bois d'oeuvre aux Etats‐Unis, les mises en chantier de constructions à usage d'habitation el le taux de change Canada‐Etats‐ Unis. Les résultats semblent montrer qu'il n 'v a à long terme qu'un seul rapport d'équilibre stable entre ces variables. On recourt à la decomposition de la variance de l'erreur de prédiction et aux réponses sur impulsion déhvées à partir d'un modèle de correction d'erreur vectorielpour examiner les rapports dynamiques à court terme entre les variables. Les résultats laissent apparaître un rapport dynamique significatif entre les variables. Ils montrent aussi que la transmission des effets du taux de change canado‐américain est incomplète à long terme et que les effets de cette variable sur les exportations canadiennes de bois d'oeuvre ne sont pas les mêmes à court qu'à long terme

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References

1987Co-Integration and Error Correction: Representation, Estimation, and Testing 1979Distribution of the Estimators for Autoregressive Time Series with a Unit Root 1969Investigating Causal Relations by Econometric Models and Cross-spectral Methods 1988Statistical analysis of cointegration vectors 1990MAXIMUM LIKELIHOOD ESTIMATION AND INFERENCE ON COINTEGRATION — WITH APPLICATIONS TO THE DEMAND FOR MONEY 1980Macroeconomics and Reality 1991Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models 1979Distribution of the Estimators for Autoregressive Time Series With a Unit Root

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2013US Imports for Canadian Softwood Lumber in the Context of Trade Dispute: A Cointegration Approach 2000Cointegration and causality in the exports-GDP nexus: The post-war evidence for Canada 2009Analysis of export demand for Ghana's timber products: A multivariate co-integration approach

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