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Macro Effects on Agricultural Prices in Different Time Horizons

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  • Koo, Won W.
  • Cho, Guedae
  • Kim, MinKyoung
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    Abstract

    Using monthly data covering 1974:1 to 2002:12, this paper explores the linkage between changes in macroeconomic variables (real exchange rate and inflation rate) and changes in relative agricultural prices in different time horizons (1, 12, 24, 36, 48, and 60 months). By controlling factors that determine the long-run trend of relative agricultural prices, the results show that long-term changes in real exchange rates have had a significant negative correlation with the long-term changes in relative agricultural prices. Conversely, changes in the general price significantly affect short-term changes in the relative agricultural price.

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    File URL: http://purl.umn.edu/19349
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    Bibliographic 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 19349.

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    Date of creation: 2005
    Date of revision:
    Handle: RePEc:ags:aaea05:19349

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    Related research

    Keywords: Relative agricultural price; exchange rates; inflation rates; unit root test; canonical cointegration regression; money neutrality; Demand and Price Analysis;

    References

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    4. Lach, Saul & Tsiddon, Daniel, 1992. "The Behavior of Prices and Inflation: An Empirical Analysis of Disaggregated Price Data," Journal of Political Economy, University of Chicago Press, vol. 100(2), pages 349-89, April.
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    6. Parks, Richard W, 1978. "Inflation and Relative Price Variability," Journal of Political Economy, University of Chicago Press, vol. 86(1), pages 79-95, February.
    7. Donald W.K. Andrews, 1988. "Heteroskedasticity and Autocorrelation Consistent Covariance Matrix Estimation," Cowles Foundation Discussion Papers 877R, Cowles Foundation for Research in Economics, Yale University, revised Jul 1989.
    8. Kevin L. Kliesen & William Poole, 2000. "Agriculture outcomes and monetary policy actions: Kissin' cousins?," Review, Federal Reserve Bank of St. Louis, issue May, pages 1-12.
    9. Dornbusch, Rudiger, 1987. "Exchange Rate Economics: 1986," Economic Journal, Royal Economic Society, vol. 97(385), pages 1-18, March.
    10. Sayed H. Saghaian & Michael R. Reed & Mary A. Marchant, 2002. "Monetary Impacts and Overshooting of Agricultural Prices in an Open Economy," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 84(1), pages 90-103.
    11. James G. MacKinnon, 2010. "Critical Values for Cointegration Tests," Working Papers 1227, Queen's University, Department of Economics.
    12. Sheshinski, Eytan & Weiss, Yoram, 1977. "Inflation and Costs of Price Adjustment," Review of Economic Studies, Wiley Blackwell, vol. 44(2), pages 287-303, June.
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    14. Ogaki, M., 1993. "CCR: A User Guide," RCER Working Papers 349, University of Rochester - Center for Economic Research (RCER).
    15. Tim Bollerslev, 1986. "Generalized autoregressive conditional heteroskedasticity," EERI Research Paper Series EERI RP 1986/01, Economics and Econometrics Research Institute (EERI), Brussels.
    16. Debelle, Guy & Lamont, Owen, 1997. "Relative Price Variability and Inflation: Evidence from U.S. Cities," Journal of Political Economy, University of Chicago Press, vol. 105(1), pages 132-52, February.
    17. Radner, Roy, 1979. "Rational Expectations Equilibrium: Generic Existence and the Information Revealed by Prices," Econometrica, Econometric Society, vol. 47(3), pages 655-78, May.
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    19. Kenneth Rogoff, 1996. "The Purchasing Power Parity Puzzle," Journal of Economic Literature, American Economic Association, vol. 34(2), pages 647-668, June.
    20. 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.
    21. Park, J.Y. & Ogaki, M., 1991. "Inference in Cointegrated Models Using VAR Prewhitening to Estimate Shortrun Dynamics," RCER Working Papers 281, University of Rochester - Center for Economic Research (RCER).
    22. Stanley Fischer, 1981. "Relative Shocks, Relative Price Variability, and Inflation," Brookings Papers on Economic Activity, Economic Studies Program, The Brookings Institution, vol. 12(2), pages 381-442.
    23. Bomberger, William A & Makinen, Gail E, 1993. "Inflation and Relative Price Variability: Parks' Study Reexamined," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(4), pages 854-61, November.
    24. Kim, MinKyoung & Koo, Won W., 2002. "How Differently Agricultural And Industrial Sectors Respond To Exchange Rate Fluctuation?," 2002 Annual meeting, July 28-31, Long Beach, CA 19635, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
    25. Kim, MinKyoung & Koo, Won W., 2002. "How Differently Do The Agricultural And Industrial Sectors Respond To Exchange Rate Fluctuation?," Agribusiness & Applied Economics Report 23589, North Dakota State University, Department of Agribusiness and Applied Economics.
    26. Barro, Robert J., 1976. "Rational expectations and the role of monetary policy," Journal of Monetary Economics, Elsevier, vol. 2(1), pages 1-32, January.
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