Synchronized movement between us lumber futures and southern pine sawtimber prices and COVID-19 impacts

Abstract

We analyzed the synchronized movements of lumber futures and southern pine sawtimber stumpage prices in the United States since 2011 and their response to COVID-19 events using wavelet analysis and event study. We found that the sawtimber and lumber prices have followed complex comovement patterns in the time–frequency domain and both reacted to COVID-19 events with a higher response intensity of the lumber price. Although they reacted differently to the early COVID-19 episodes and vaccine news, the sawtimber and lumber prices responded similarly to the COVID-19 pandemic declarations by the World Health Organization and US president, the US Food and Drug Administration panel’s recommendation of the first COVID-19 vaccine, and economic stimulus legislation. The patterns of synchronized movements between the sawtimber and lumber prices varied with time and frequency, but their comovement at low frequencies (>64 weeks) has strengthened since 2014 and been led by the lumber futures price; COVID-19 episodes have not changed this trend. The different magnitude of response of the two prices to the COVID-19-related events, as well as the long-term dominance of the lumber price in the comovement, reveals asymmetric price negotiation power and benefit distributions among the agents of the lumber value chain.