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.
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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
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