An Analysis of the Pass-Through of Exchange Rates in Forest Product Markets

This paper assesses the exchange rate pass-through (ERPT) for forest product prices (i.e., sawnwood, logs) by applying a two-regime Self-Exciting Threshold Autoregressive (SETAR) model. We incorporate autoregressive second-order dynamics in regime equations. leads to better forecasts, as integrating more lags helps capture cumulative effects of price dynamics. examine sawnwood and log products traded United States, Malaysia (Southeast Asia) Cameroon (West Africa). Our results illustrate importance SETAR-type models analyze non-linear markets. The impulse response analysis each pair supports changing behavior ratios various regimes. may be regarded another justification apply accounting structural changes investigate fashion. aftershock adjustment process is similar, but amplitude impact differs among reveal potential arbitrage opportunities forestry industry.