The impact of information release from public report announcements has been widely investigated in many commodity markets, but little attention has been paid to the lumber market. In this paper, we use generalized autoregressive conditional heteroskedasticity (GARCH) models to examine the effect of two housing market reports, namely the New Residential Construction (Housing Starts) and the New Residential Sales reports, on the U.S. lumber futures market from 2000 to 2017. Our results suggest that the housing starts report indeed affects lumber market volatility, while the new home sales report exerts a minor impact. We further find that the effect of the two reports decreases with inventory levels and differs depending on the nature of the news. When the level of inventory is low, larger-than-expected housing starts has a more substantial effect than lower-than-expected housing starts. During periods of abundant stocks, however, lower-than-expected housing starts increase the volatility more than larger-than-expected news. For the new home sales reports, we find that while lower-than-expected sales do not affect lumber price volatility, larger-than-expected sales do increase the volatility.

公开报告公告信息发布的影响已在许多商品市场广泛调查，但对木材市场的关注较少。在本文中，我们使用广义自回归条件异方差 (GARCH) 模型来检验 2000 年至 2017 年美国木材期货市场的两个住房市场报告，即新住宅建设（房屋开工）和新住宅销售报告的影响. 我们的结果表明，新屋开工报告确实影响了木材市场的波动，而新屋销售报告的影响较小。我们进一步发现，两份报告的影响随着库存水平的增加而降低，并且根据新闻的性质而有所不同。当库存水平较低时，高于预期的新屋开工比低于预期的新屋开工影响更大。然而，在库存充裕的时期，低于预期的新屋开工比高于预期的消息更能增加波动性。对于新屋销售报告，我们发现虽然低于预期的销售不会影响木材价格的波动，但高于预期的销售确实会增加波动。