Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy: The Case of Slovenia
AbstractThe paper focus on the time adjustment paths of the exchange rate and agricultural producer and industrial prices in response to unanticipated monetary shocks following model developed by Saghaian et al. (2002). 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. The impulse response analysis shows that an exogenous shock to the money supply has a significant and volatile effect on the three price variables. The extent of overshooting in agricultural prices is twice as large as for exchange rates or industrial prices. This indicates that in the case of monetary shocks the sectors associated with flexible changes bear the burden of adjustment vis-a-vis the sectors with sticky changes.The exchange rate pass-through on agricultural producer prices revealed by the forecast error variance analysis indicates the relatively greater importance of the exchange rate than the money supply in explaining the expected variation of the agricultural producer price. This is consistent with floating exchange rate policy, while agricultural trade policy for sensitive products has been more restricted until Slovenia joined the European Union.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by European Association of Agricultural Economists in its series 103rd Seminar, April 23-25, 2007, Barcelona, Spain with number 9422.
Date of creation: 2007
Date of revision:
agricultural prices; exchange rates; monetary shocks; overshooting; transition economy; Agricultural Finance; International Relations/Trade;
Other versions of this item:
- Bakucs, Lajos Zoltan & Bojnec, Stefan & Ferto, Imre, 2006. "Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy: The Case of Slovenia," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25515, International Association of Agricultural Economists.
- C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
- E51 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Money Supply; Credit; Money Multipliers
- P22 - Economic Systems - - Socialist Systems and Transition Economies - - - Prices
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- 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.
- Elliott, Graham & Rothenberg, Thomas J & Stock, James H, 1996.
"Efficient Tests for an Autoregressive Unit Root,"
Econometric Society, vol. 64(4), pages 813-36, July.
- Tom Doan, . "ERSTEST: RATS procedure to perform Elliott-Rothenberg-Stock unit root tests," Statistical Software Components RTS00066, Boston College Department of Economics.
- Tom Doan, . "GLSDETREND: RATS procedure to perform local to unity GLS detrending," Statistical Software Components RTS00077, Boston College Department of Economics.
- Graham Elliott & Thomas J. Rothenberg & James H. Stock, 1992. "Efficient Tests for an Autoregressive Unit Root," NBER Technical Working Papers 0130, National Bureau of Economic Research, Inc.
- Peng, Xuehua & Marchant, Mary A. & Reed, Michael R., 2004. "Identifying Monetary Impacts On Food Prices In China: A Vec Model Approach," 2004 Annual meeting, August 1-4, Denver, CO 20315, American Agricultural Economics Association (New Name 2008: Agricultural and Applied Economics Association).
- Nedka Ivanova & Philip Dawson & John Lingard, 2003. "Macroeconomic Impacts on Bulgarian Agriculture during Transition," Applied Economics, Taylor & Francis Journals, vol. 35(7), pages 817-823.
- Shih-wen Hu & Vey Wang, 1996. "Commodity Price Dynamics and Anticipated Shocks," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(4), pages 982-990.
- Bakucs, Lajos Zoltan & Ferto, Imre, 2005. "Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24711, European Association of Agricultural Economists.
- 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.
- Orden, David, 1986. "Agriculture, trade, and macroeconomics: The U.S. case," Journal of Policy Modeling, Elsevier, vol. 8(1), pages 27-51.
- Jeffrey H. Dorfman & William D. Lastrapes, 1996. "The Dynamic Responses of Crop and Livestock Prices to Money-Supply Shocks: A Bayesian Analysis Using Long-Run Identifying Restrictions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 78(3), pages 530-541.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.
If references are entirely missing, you can add them using this form.
If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.
If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.
Please note that corrections may take a couple of weeks to filter through the various RePEc services.