Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy
AbstractThe 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.
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 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark with number 24711.
Date of creation: 2005
Date of revision:
agricultural prices; exchange rates; monetary shocks; overshooting; transition economy; Agricultural Finance; C32; E51; P22; Q11;
Find related papers by JEL classification:
- 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.:
- 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.
- Ardeni, Pier-Giorgio & Rausser, Gordon C., 1990.
"Alternative subsidy reduction paths : the role of fiscal and monetary policy linkages,"
CUDARE Working Paper Series
566, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy.
- Ardeni, Pier-Giorgio & Rausser, Gordon C., 1990. "Alternative subsidy reduction paths: the role of fiscal and monetary policy linkages," Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series qt5074f3vq, Department of Agricultural & Resource Economics, UC Berkeley.
- 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.
- 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.
- 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.
- 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.
- 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).
- 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.
- Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
- 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.
- Zanias, George P, 1998. "Inflation, Agricultural Prices and Economic Convergence in Greece," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 25(1), pages 19-29.
- 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.
- 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.
- 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.
- 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.
- Orden, David, 1986. "Agriculture, trade, and macroeconomics: The U.S. case," Journal of Policy Modeling, Elsevier, vol. 8(1), pages 27-51.
- 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.
- 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.
- 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.
- 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.
- Shahnoushi, Naser & Henneberry, Shida Rastegari & Manssori, Hooman, 2009. "An Examination of the Relationship between Food Prices and Government Monetary Policies in Iran," 2009 Annual Meeting, January 31-February 3, 2009, Atlanta, Georgia 46078, Southern Agricultural Economics Association.
- Ferto, Imre & Fogarasi, Jozsef, 2012.
"On Trade Impact of Exchange Rate Volatility and Institutional Quality: The Case of Central European Countries,"
123rd Seminar, February 23-24, 2012, Dublin, Ireland
122510, European Association of Agricultural Economists.
- Ferto, Imre & Fogarasi, Jozsef, 2011. "On Trade Impact of Exchange Rate Volatility and Institutional Quality: The Case of Central European Countries," 2011 International Congress, August 30-September 2, 2011, Zurich, Switzerland 114351, European Association of Agricultural Economists.
- Khundrakpam, J. K. & Das, Dipika, 2011. "Monetary Policy and Food Prices in India," MPRA Paper 50904, University Library of Munich, Germany.
- 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.
- Bakucs, Lajos Zoltan & Bojnec, Stefan & Ferto, Imre, 2007. "Monetary Impacts and Overshooting of Agricultural Prices in a Transition Economy: The Case of Slovenia," 103rd Seminar, April 23-25, 2007, Barcelona, Spain 9422, European Association of Agricultural Economists.
- Teweldemedhin, M.Y. & van Schalkwyk, Herman D., 2010. "The impact of trade liberalisation on South African agricultural productivity," 2010 AAAE Third Conference/AEASA 48th Conference, September 19-23, 2010, Cape Town, South Africa 95963, African Association of Agricultural Economists (AAAE);Agricultural Economics Association of South Africa (AEASA).
- M.Y. TEWELDEMEDHIN & H.D. VAN SCHALKWYK & Rena RAVINDER, 2009. "The Agricultural Industry And Economic Growth In South Africa – An Empirical Analysis," Review of Economic and Business Studies, Alexandru Ioan Cuza University, Faculty of Economics and Business Administration, issue 4, pages 43-56, November.
- Asjaha, T.A. & Jooste, Andre, 2007. "The Effect of Monetary Changes on Relative Agricultural Prices," Agrekon, Agricultural Economics Association of South Africa (AEASA), vol. 46(4), December.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search).
If references are entirely missing, you can add them using this form.