THE ECONOMICS OF TIMBER SUPPLY: AN ANALYTICAL SYNTHESIS OF MODELING APPROACHES

The joint supply of timber and other services from forest environments plays a central role in most forest land debates. This paper defines a general conceptual model of timber supply that provides the context for discussing both individual harvest choice and aggregate supply models. While the structure and breadth of these models has developed considerably over the last twenty years, unresolved issues remain. Supply formulations that account for the quality and vintage distribution of forest capital will be necessary for improving medium- and long-run forecasts. This will be especially important for examining the potential impacts of structural changes in forest production and timber markets. In addition, consistent aggregation of individual owners to total supply will be required to address changing forest land ownership patterns.     

TIMBER SUPPLY UNDER DEMAND UNCERTAINTY: WELFARE GAINS FROM PERFECT COMPETITION WITH RATIONAL EXPECTATIONS

ABSTRACT. This paper presents a noneconometric approach to estimating the short‐run timber supply function based on optimal harvest decisions. Determination of optimal harvest levels and estimation of supply function coefficients are integrated into one step by incorporating a parametric short‐run timber supply function into the harvest decision model. In this manner we convert the original harvest decision model into a new optimization problem with the supply function coefficients functioning as “decision variables.” Optimal solution to the new decision model gives the coefficients of the short‐run supply function and, indirectly, the optimal harvest levels. This approach enables us to develop stochastic models of the timber market that are particularly useful for forest sector analysis involving comparison of alternative institutional regimes or policy proposals and when the timber market is affected by stochastic variables. For demonstration purposes, we apply this method to compare the performances of two timber market regimes (perfect competition and monopoly) under demand uncertainty, using the Swedish data. The results show that the expected timber price is 22 percent lower and the expected annual timber supply is 43 percent higher in the competitive market than in the monopoly market. This confirms the theoretical result that monopoly reduces supply and increases price. The expected social welfare gain from perfect competition over monopoly is about 24 percent.     

AN OPTIMIZATION APPROACH TO IDENTIFYING TIMBER SUPPLY FUNCTION COEFFICIENTS

This paper examines an optimization approach to identifying short-run timber supply function coefficients when the form of the supply function is known. By definition, a short-run timber supply function is a functional relationship between the optimal harvest level in each period (e.g., each year) and the actual forest-market state in the same period. The short-run timber supply function represents the optimal harvest decision policy, and therefore, the problem of optimal harvesting can be formulated as a problem of determining this function. When the form of the supply function is known, the problem becomes one of identifying the coefficients of the supply function. If the management objective is to maximize the expected present value of net revenues from timber harvesting over an infinite time horizon, and the timber price process is, in a sense, stationary, the supply function coefficients correspond to the optimal solution to an anticipative optimization problem. In this case, the supply function coefficients can be determined by maximizing the expected present value of the net revenues from timber harvesting, where periodic harvest levels are determined using the supply function. Numerical results show that the short-run supply functions determined using this approach gives good approximations of the true supply function.     

TEMPORAL AGGREGATION AND TESTING FOR TIMBER PRICE BEHAVIOR

ABSTRACT. Different harvest timing models make different assumptions about timber price behavior. Those seeking to optimize harvest timing are thus first faced with a decision regarding which assumption of price behavior is appropriate for their market, particularly regarding the presence of a unit root in the timber price time series. Unfortunately for landowners and investors, the literature provides conflicting guidance on this subject. One source for the ambiguous results of unit root tests of timber prices may involve data problems. We used Monte Carlo simulations to show that aggregating observations below their observed rate resulted in similar power reductions and empirical size distortions across three classes of unit root tests. Moving‐average error structures can also affect power and sizes of tests on period‐averaged data. Such error structures can also be created by the kind of temporal averaging common in reported timber prices. If we take timber prices at their face value and therefore ignore these sampling error and temporal aggregation complications, we find that unit root tests on southern timber prices support a unit root in 158 out of 208 product‐deflation combinations tested, random walks in 38 of the series found to be nonsta‐tionary, and stationarity in none. However, if we recognize temporal aggregation errors, unit root tests more commonly favor stationarity, especially for pulpwood stumpage. Because price trends for sawtimber and pulpwood products may behave differently even in the same region, stochastic harvest timing models must be developed that allow their multiple products to follow different price paths.     

流动性过剩对物价和产出的动态冲击效应分析

本文运用结构向量自回归(SVAR)模型方法,研究了我国流动性过剩对物价和产出所产生的动态冲击效应。主要结论是:流动性过剩正冲击对物价仅有短期正效应,即在短期促使物价上涨。流动性过剩正冲击对产出有正效应,而且其效果是中长期有效的,即流动性过剩在中长期促进产出增长。货币供应量M_2对产出的增长的效力相对较大,而货币供应量M_1对物价的影响力相对较大。     

VALUING A TIMBER HARVEST CONTRACT AS A HIGH‐DIMENSIONAL AMERICAN CALL OPTION VIA LEAST‐SQUARES MONTE CARLO SIMULATION

Abstract Industrial timberland ownership in the United States has shifted substantially in the last 20 years. Having sold their fee‐owned timberlands, forest products companies relied heavily on the open market for raw timber. To reduce their exposure to market risks, however, forest products companies have been using a number of supply chain instruments, such as timber harvest contracts. As these vehicles become increasingly important to the forest industry, it is necessary and important to determine their economic values. In this study, we treated a 3‐year timber harvest contract on a 30‐year‐old loblolly pine plantation as a high‐dimensional American call option and calculated its value by the least‐squares Monte Carlo simulation technique. The estimated values of such a contract ranged from $1,693/ac to $1,984/ac under two timber price assumptions. With reasonable starting timber prices and strike price in the simulation, random timber prices led to higher contract values. Results from this study can help private landowners, timber brokers, and forest products companies better manage their business risks.     

TIMBER MARKETS AND FUEL TREATMENTS IN THE WESTERN U.S.

ABSTRACT. We developed a model of interrelated timber markets in the U.S. West to assess the impacts of large‐scale fuel reduction programs on these markets, and concomitant effects ofthe market on the fuel reduction programs. The linear programming spatial equilibrium model allows interstate and international trade with western Canada and the rest of the world, while accounting for price effects of introducing softwood logs to the market. The model maximizes area treated, given fire regime‐condition class priorities, maximum increases in softwood processing capacity, maximum rates of annual treatments, prohibitions on exports of U.S. and Canadian softwood logs from public lands and a fixed annual treatment budget. Results show that the loss to U.S. private timber producers is less than the gains for timber consumers (mills). States receiving more treatments when spending is not constrained by state proportions include Idaho, Montana, New Mexico and Oregon. When only the wildland‐urban interface is treated, California, Oregon and Washington receive more treatments. Utah and Colorado receive more treatments when low risk stands are included.     

能源价格变化对我国宏观经济及节能减排的影响研究——基于联立方程模型的分析

基于供给需求理论构建了能源——经济联立方程模型,定量研究各类能源价格变化对我国宏观经济的影响.结果发现,能源价格上涨可以降低能源消耗,通过供给渠道对潜在生产能力和GDP产生紧缩作用,对通货膨胀产生向上压力.石油价格上涨对主要经济指标的影响略小,煤炭价格与电力价格上涨对经济的影响较大,煤、电价格联合上涨对经济的影响最大.这与目前我国能源消费结构吻合.各种能源价格的持续上涨冲击对潜在产出、能源消费、能源强度和碳排放强度的负向影响有继续增强的趋势.     

CAPACITY AND PRICE OF NONRENEWABLE RESOURCE DEPOSITS

This paper develops a model to determine the planned rate of production from a nonrenewable resource deposit and applies the model to the U.S. copper industry to estimate changes in aggregate planned copper production as a function of copper price expectations. Standard investment theory is applied in the model to examine the choice of the planned rate of extraction from limited volume resource deposits. A setting is analyzed in which the total production volume from any site is fixed by the size of the resource deposit at that site. Within this setting, the planned rate of resource extraction is a fully endogenous solution of the model. Properties of the model are investigated to determine changes in the planned rate of production caused by variation in operating cost, investment cost and output price parameters. The planned rate of production from any deposit is found to increase at a decreasing rate, given incremental increases in the output price, ceteris paribus. The finding is illustrated with data describing mined and yet-to-be mined copper deposits in the United States. A close match is observed between the calculated production rate for mined copper deposits and the mine capacity (rate of production) chosen by the owners of those deposits, given plausible assumptions about mine owner price expectations. The planned rate of production is aggregated across all deposits and plotted as a function of output price. An aggregate medium run copper supply curve is obtained, indicating the elasticity of planned production to changes in the expected long run output price of copper. This empirical example suggests that doubling the output price from $1 to $2 per pound copper, would triple aggregate planned copper production in the United States.     

一般均衡下基于产品市场和资本市场的单名CDS定价

次贷危机呼吁新的信用衍生品定价模型, 因此为存在产品市场和资本市场的经济结构建立一般均衡的单名CDS定价模型, 使用最优化求解一般均衡下的商品价格和CDS价格. 可以发现一般均衡的CDS定价具有资本市场和产品市场的因素, 这表示CDS的价格不再是由单纯的资本市场因素决定的, 而是由无风险利率、资本产出弹性、违约率、回收率同时决定的. 通过数量约束用模拟的方式研究多个均衡的动态变化, 发现违约风险的增加使得价格剧烈波动且市场交易萎缩. 在为以中国工商银行为参考资产的CDS定价过程中, 发现各种因素在不同的时期都可能成为定价的主要影响因素. 可以发现, 次贷危机的定价体系存在着信用调整问题和定价与实体经济脱节的问题. 可以认为, 一般均衡下基于产品市场和资本市场的单名CDS定价可以囊括多个市场的交叉影响, 为衍生品定价提供一个新的方向.     

收购价不确定下订单农业供应链融资方式选择——外部融资VS内部融资

基于“保底收购,随行就市”的订单价格机制,构建了“公司+农户”型订单农业供应链模型,求解了外部融资均衡和内部融资均衡,分析了收购公司和农户对外部融资方式和内部融资方式的选择意愿以及订单农业供应链的融资方式选择结果。研究发现,公司总是希望农户选择期望回报率低的融资方式,然而自有资金高的农户却偏爱期望回报率高的融资方式,这是因为期望回报率高时农户会降低投产量,而公司为激励农户会提高保底价,此时对农户而言保底价增大带来的收益要大于期望回报率增加带来的损失,但供应链整体利益却受到损害。最重要的是,公司出台内部融资的补贴和额外收费政策可以实现供应链双方的共赢。     

产业链视角下结构性有色金属价格冲击的行业传导效应

本文基于产业链的新视角,采用2006年8月至2016年4月的月度数据,选择具有代表性的6个工业行业以构建反映有色金属产业链内在联系的SVAR模型,将国际有色金属价格冲击分解为供给冲击、经济需求冲击以及预防性需求冲击,考察这三种结构性冲击对我国有色金属产业链各环节产出的影响效应,并通过分解上中下游行业的通胀来源,探究国际有色金属价格冲击的主要传导路径。结果显示:供给冲击和预防性需求冲击推动的有色金属价格上涨与工业行业产出呈现负相关关系,而经济需求冲击带来的有色金属价格上涨与工业行业产出呈现同向变化;三种结构性冲击对我国工业行业通胀的影响有两条传导路径,供给冲击与预防性需求冲击带来的国际有色金属价格上涨会产生成本推动型通胀,并且冲击作用沿着产业链的上游往下游进行正向传导,而经济需求冲击带来的国际有色金属价格上涨会产生需求拉动型通胀,并且冲击作用沿着产业链下游往上游进行逆向传导。     

规模报酬递增、要素供给结构与经济增长研究

要素供给结构是要素在生产活动中配置产生的直接结果。理论分析表明在规模报酬递增生产函数前提假设下,物质资本、人力资本供给结构与均衡产出正相关,产出是二者供给结构变量的增函数。对中国经济增长的实证分析表明建国后特别是改革开放以来,以物质资本扩张为主要特征的要素供给结构对产出的增长产生了较大的推动作用,但长期来看,相对于巨大的物质资本积累而言,中国人力资本的积累太少,要素间配置效率开始恶化,这将制约中国的长期经济增长。增加人力资本投资并优化人力资本和物质资本投资结构是解决这一问题的主要途径。     

MANAGEMENT VARIATION AND PRICE EXPECTATIONS IN AN INTERTEMPORAL FOREST SECTOR MODEL

The assessment of wood supply in long-run forest sector analysis by harvest scheduling approaches entails an assumption of rational behavior among forest owners. The implications of the assumption are investigated by projecting wood supply in southern Sweden under alternate price expectations and with different requirements on the variation in forest management practices. The results suggest that the formation of price expectations is of prime importance in modeling wood supply and influences the effect of variation.     

两部门内生增长模型中财政政策的短期分析

在一个两部门内生增长模型中,讨论政府财政政策变化对居民消费,资本积累以及经济增长的长期影响和短期影响.发现在短期内,政府增加资本收入税不仅可以增加居民消费,而且可以刺激人力资本积累,从而刺激短期经济增长.但是政府财政政策改变对长期经济增长不产生影响,而且资本收入税会降低长期的消费水平和资本存量.另外,从经济增长形态和消费者福利两个角度讨论了资本收入税的无效性.     

交易流动性不对等环境下基于收入共享契约的供应链协调

供应链中存在单一生产商、单一零售商和一个交易流动性不对等的第三方B2B电子交易市场。在零售需求不确定的情况下,分别建立了供应链集中决策模型、传统固定合约均衡决策模型、收入共享契约分散决策模型,验证了收入共享契约在多渠道采购环境下仍可以协调供应链,分析了使供应链达到帕累托改进的收入共享契约的参数设定,最后分别从卖出流动性和买入流动性两个角度讨论了交易流动性对供应链的影响。研究结果表明,卖出流动性好的电子交易市场可以促使供应链达到最优生产量,实现整体收益的最大化;两种交易流动性的趋好都会提高供应链效率,但生产商更偏好卖出流动性好的电子交易市场。     

产能限制下单向替代产品供应链生产、订货与定价研究

考虑一个产能受限的制造商和一个零售商组成的二级供应链上供需双方信息不完全对称的情景,研究具有单向替代的两种产品生产、订货及响应性定价的供应链决策问题,把问题建立成一个三阶段博弈模型。理论分析得出不同条件下制造商的最优产量及零售商的最优订货和定价决策。通过算例验证了供应链上的最优决策及其条件,灵敏度分析表明制造商产能、潜在市场需求及其方差、替代品的价格敏感系数在一定范围内增大有利于供应链系统及各成员利润增加,被替代产品的价格敏感系数增大可能会导致供应链及制造商利润下降。     

MODELING THE EFFECT OF INSTITUTIONAL CONSTRAINTS ON SHORT-RUN TIMBER SUPPLY ON PUBLIC LAND: A CASE STUDY OF QUOTA HOLDERS IN ALBERTA

The short-run timber supply behavior of quota holders is investigated in the face of institutional constraints and fixed stumpage prices. A dynamic optimization technique is used to predict production and estimate shadow prices of processing capacity constraints and annual allowable cut restrictions. Models for large, medium, and small tenure holders are formulated reflecting the different cost structures of different sized firms. Results indicate that all categories of quota holders incur substantial costs due to institutional constraints, and that eliminating both types of constraints simultaneously reduces costs much more than the combined savings from eliminating each type of constraint individually.     

持股策略下随机需求低碳供应链融资决策均衡

随机市场需求且受制造商减排水平影响,考虑碳限额与交易机制,研究制造商进行单纯银行借贷和供应商投资持股的组合融资时的最优决策和利润情况,分析消费者低碳偏好、碳交易价格和供应商的投资持股比例对供应链的最优决策变量和利润的影响。研究发现:无资金约束、单纯银行借贷和组合融资下,消费者低碳偏好、碳交易价格和持股比例与制造商的减排水平和利润以及供应链系统的利润正相关,而供应商的批发价格和制造商的生产量与消费者低碳偏好正相关,与碳交易价格负相关,而持股比例与供应商的批发价格负相关,与制造商的生产量和减排水平正相关;持股策略下制造商的减排水平和生产量最大,无资金约束时次之,单纯银行借贷时最小;而无资金约束时供应商的批发价格最高,单纯银行借贷时次之,持股策略时最低;在持股比例满足一定条件下,供应商和制造商的利润优于单纯银行借贷时的利润,并且可以优于无资金约束时的利润,提高了供应链的竞争力和效率。     

Heston模型下的方差互换定价研究

通过实证分析论证了波动率具有均值回复性质的合理性.在Heston模型下,利用Ito积分推导出了方差互换在其存续期内任意时刻的价格与公平执行价格的定价公式.得到公平执行价格是波动率的平方的初始水平与长期均值水平的线性组合的性质,并利用该性质对Heston模型参数的敏感性进行了分析.