This study presents an econometric analysis of the spatial integration of the Nordic timber market as reflected in timber prices. The statistical model is a vector autoregressive (VAR) model with cointegration. The degree of spatial integration is tested through a cointegration analysis and a complete identification of the statistical model's long‐run structure. When the results were interpreted in terms of factor price equalization and efficient commodity arbitrages, the Nordic markets were found to be strongly integrated. The pattern of interdependence is investigated through an analysis of the model's short‐run structure and interpreted in terms of Granger causality. Finland, and to some extent Sweden, were found to act as “price‐leaders” in the long run and Denmark and Norway were very sensitive to changes in timber prices in competing countries.