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The Influence of Macroeconomic Variables on the Hungarian Agriculture

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Author Info
Bakucs, Lajos Zoltan
Ferto, Imre

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Abstract

This paper focus on the time adjustment paths of the exchange rate and prices in response to unanticipated monetary shocks following model developed by Saghaian et al. (2002). We employ Johansen's cointegration test along with a vector error correction model to investigate whether agricultural prices overshoot in a transition economy. The empirical results indicate that agricultural prices adjust faster than industrial prices to innovations in the money supply, affecting relative prices in the short run, but strict long-run money neutrality does not hold.

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File URL: http://purl.umn.edu/19232
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Publisher Info
Paper provided by American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association) in its series 2005 Annual meeting, July 24-27, Providence, RI with number 19232.

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Date of creation: 2005
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Handle: RePEc:ags:aaea05:19232

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Related research
Keywords: agricultural prices; exchange rates; monetary shocks; overshooting; transition economy; Demand and Price Analysis; C32; E51; P22; Q11;

References listed on IDEAS
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  1. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June. [Downloadable!] (restricted)
  2. J. S. Taylor & John Spriggs, 1989. "Effects of the Monetary Macro-economy on Canadian Agricultural Prices," Canadian Journal of Economics, Canadian Economics Association, vol. 22(2), pages 278-89, May. [Downloadable!] (restricted)
  3. Saghaian, Sayed H & Reed, Michael R & Marchant, Mary A, 2002. " Monetary Impacts and Overshooting of Agricultural Prices in an Open Economy," American Journal of Agricultural Economics, American Agricultural Economics Association, vol. 84(1), pages 90-103, February. [Downloadable!] (restricted)
  4. Scott Rozelle & Johan F. M. Swinnen, 2004. "Success and Failure of Reform: Insights from the Transition of Agriculture," Journal of Economic Literature, American Economic Association, vol. 42(2), pages 404-456, June. [Downloadable!] (restricted)
  5. Bordo, Michael David, 1980. "The Effects of Monetary Change on Relative Commodity Prices and the Role of Long-Term Contracts," Journal of Political Economy, University of Chicago Press, vol. 88(6), pages 1088-1109, December. [Downloadable!] (restricted)
  6. Brooks, Karen & Nash, John, 2002. "The rural sector in transition economies," Handbook of Agricultural Economics, in: B. L. Gardner & G. C. Rausser (ed.), Handbook of Agricultural Economics, edition 1, volume 2, chapter 30, pages 1547-1592 Elsevier. [Downloadable!] (restricted)
  7. Engle, Robert F & Granger, Clive W J, 1987. "Co-integration and Error Correction: Representation, Estimation, and Testing," Econometrica, Econometric Society, vol. 55(2), pages 251-76, March. [Downloadable!] (restricted)
  8. Orden, David, 1986. "Agriculture, trade, and macroeconomics: The U.S. case," Journal of Policy Modeling, Elsevier, vol. 8(1), pages 27-51. [Downloadable!] (restricted)
  9. Ardeni, Pier Giorgio & Freebairn, John, 2002. "The macroeconomics of agriculture," Handbook of Agricultural Economics, in: B. L. Gardner & G. C. Rausser (ed.), Handbook of Agricultural Economics, edition 1, volume 2, chapter 28, pages 1455-1485 Elsevier. [Downloadable!] (restricted)
  10. Zanias, George P, 1998. "Inflation, Agricultural Prices and Economic Convergence in Greece," European Review of Agricultural Economics, Oxford University Press for the Foundation for the European Review of Agricultural Economics, vol. 25(1), pages 19-29.
  11. Nedka Ivanova & Philip Dawson & John Lingard, 2003. "Macroeconomic Impacts on Bulgarian Agriculture during Transition," Applied Economics, Taylor and Francis Journals, vol. 35(7), pages 817-823, January. [Downloadable!] (restricted)
  12. Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996. "Efficient Tests for an Autoregressive Unit Root," Econometrica, Econometric Society, vol. 64(4), pages 813-36, July. [Downloadable!] (restricted)
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  13. Grennes, Thomas & Lapp, John S., 1986. "Neutrality of inflation in the agricultural sector," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 231-243, June. [Downloadable!] (restricted)
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