| Time series analysis and directed graphs are applied to the U.S. softwood lumber industry and the world rice market. The three studies have been conducted to gain better understanding in these commodity markets. The first study investigates the dynamic relationships among price, production, shipments, stocks, and orders of lumber for the West Coast, Inland, and Southern regions. There are two long run relationships in the Inland region, whereas there are four long run relationships in the West Coast and Southern regions. It is evident from directed graph analysis that there are causal relations among price and quantity variables in the West Coast market. The price variables have no causal relation to quantity variables in the Inland and Southern markets. Production plays a crucial role among quantity variables in each regional softwood lumber market.;The second study focuses on the forecasting ability of alternative models of time series data in the softwood lumber industry. The result shows a possible structural change in 1992. Plausible reasons for this are the Canadian termination of the 15% export tax in 1991, the U.S. adoption of the 6.51% import tax in 1992 and the northern spotted owl protection in the Pacific Northwest. Additional causes may be the weather, transportation costs, changes and fluctuations in interest rates, exchange rates and housing starts in the U.S. The forecasting performances of various models are investigated. The forecast improvement is better for cash price relative to futures prices. This suggests that the futures markets respond to the new information earlier than cash market.;The third study examines the world rice prices, especially the relations among the major rice prices from the U.S. and Thailand. The cointegration analysis suggests that the world market price only conveys information from the other markets. Texas cash price and Thai price determine the futures prices. This is likely due to the thin volume of trade in the futures market and the dominant position of Thailand in exporting to the world rice market. However, the world market price has significant short-run effect on the other markets. |
