The Effects of Monetary Policy On Real Farm Prices in South Africa
AbstractThis study provides empirical evidence of aggregate, anticipated and unanticipated and asymmetric (positive and negative) effects of monetary policy on real agricultural prices in South Africa over the monthly period of 1970:01-2010:12. For this purpose, we use the Vector Autoregressive (VAR) model coupled with the monetary misperception model to distinguish between anticipated and unanticipated monetary policy shocks. Results show that the actual, anticipated and unanticipated monetary policy had significant effect on real farm prices. These findings are robust when the shocks are modelled as recursive residuals. Moreover, the positive monetary policy was consistently significant either at specific lags or jointly. With exception of the recursive anticipated monetary policy, the negative components were consistently insignificant. Further, the hypothesis of asymmetric effect was supported for the recursive anticipated monetary policy only. The effects observed in this study are quantitatively small and accounts for only a very small percentage (1.5 percent - 6.5 percent) of the variation in real farm prices.
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Bibliographic InfoPaper provided by University of Pretoria, Department of Economics in its series Working Papers with number 201119.
Length: 28 pages
Date of creation: Oct 2011
Date of revision:
Monetary policy; real farm price; asymmetric effects; recursive residuals;
Other versions of this item:
- Goodness C. AYE & Rangan GUPTA, 2012. "The Effects Of Monetary Policy On Real Farm Prices In South Africa," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 12(1), pages 147-158.
- C12 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Hypothesis Testing: General
- E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
- Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
This paper has been announced in the following NEP Reports:
- NEP-AFR-2011-10-22 (Africa)
- NEP-AGR-2011-10-22 (Agricultural Economics)
- NEP-ALL-2011-10-22 (All new papers)
- NEP-CBA-2011-10-22 (Central Banking)
- NEP-CIS-2011-10-22 (Confederation of Independent States)
- NEP-MAC-2011-10-22 (Macroeconomics)
- NEP-MON-2011-10-22 (Monetary Economics)
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.:
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