2008 年 7 巻 p. 61-77
Expectation of the future trend and volatility of log prices has an impact on forest management decisions under stochastic environments. In this paper, we investigate the reverted mean level of log price dynamics using several variants of the mean-reverting process. Market-based log price data in Fukuoka Prefecture, along with nationwide averages, are used for the analysis. Target timber products are 3 and 4 m sugi (Cryptomeria japonica) and hinoki (Chamercypress obtusa) dimensional log. Parameter estimation is carried out by a quasi-maximum likelihood method. Our analysis shows that the reverted mean price differs significantly between the nationwide average and market-based price dynamics. Because the nationwide average price data smoothes market-based price dynamics, the underlying volatility is underestimated when compared to market-based price data. The estimated parameter values of all models from the nationwide average price are also much smaller than the estimated parameters from the market-based models. The reverted mean derived from the market-based data tends to show a decreasing trend over the time horizon, while the nationwide data does not.
