Dynamic Causal Relationships among Import Price,  Import Quantity,  and Ocean Freight Rate Index in the Chemical Pulp Market

Seok-Il Lee; Byung-Sam Yoon

doi:10.7584/JKTAPPI.2022.08.54.4.94

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Dynamic Causal Relationships among Import Price, Import Quantity, and Ocean Freight Rate Index in the Chemical Pulp Market 펄프 수입가격과 수입량 및 해상운임지수 간의 동태적 인과관계 분석

30 August 2022. pp. 94-102

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Abstract

This study investigates the dynamic causal relationships among import price, import quantity, and ocean freight rate index in the chemical pulp market. The Johansen cointegration test was applied to determine the cointegration among the three time series variables in this study, demonstrating their long run equilibrium relationship. Results of the vector error correction model (VECM) indicated that the pulp import quantity has an error correction mechanism that leads to convergence toward the long run equilibrium level or steady state. Furthermore, the Granger causality test results revealed a unidirectional causal relationship between the ocean freight rate index and quantity of wood pulp imported, implying that ocean freight rates influence the quantity of wood pulp imported. Moreover, the results of impulse response analysis revealed that an increase in ocean freight rate index shock has a notably negative impact on pulp import quantity, leading to the general decrease in import quantity in both the short and long run.

Keywords

Hardwood pulp (HwBKP)

stationarity

cointegration

Granger causality

impulse response

variance decomposition

References

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Information

Publisher :Korea Technical Association of The Pulp and Paper Industry
Publisher(Ko) :한국펄프종이공학회
Journal Title :Journal of Korea TAPPI
Journal Title(Ko) :펄프종이기술
Volume : 54
No :4
Pages :94-102
Received Date : 2022-07-26
Revised Date : 2022-08-12
Accepted Date : 2022-08-16
DOI :https://doi.org/10.7584/JKTAPPI.2022.08.54.4.94

Journal of Korea TAPPI ISSN:0253-3200(Print) 펄프종이기술

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Literature Cited