Abstract
This study investigates the dynamic causal relationships among imported pulp prices (HwBKP, SwBKP) and waste paper prices (OCC, ONP). The Johansen cointegration test showed that there existed a long-run equilibrium relationship among four time series variables in this study. Results of the vector error correction model (VECM) indicated that the pulp and waste paper prices had their own error correction mechanisms that lead to convergence toward the long run equilibrium level or steady state. Furthermore, the Granger causality test revealed a bidirectional causal relationship between the pulp prices (HwBKP ⇔ SwBKP), a unidirectional causal relationship between the pulp and waste paper prices (HwBKP ⇒ ONP), and a unidirectional causal relationship between the waste paper prices (OCC ⇒ ONP). Moreover, the results of variance decomposition analysis revealed that the variance of HwBKP and OCC prices primarily reflected own shocks in both the short and long run.
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