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.
Download InfoTo our knowledge, this item is not available for download. To find whether it is available, there are three options:
1. Check below under "Related research" whether another version of this item is available online.
2. Check on the provider's web page whether it is in fact available.
3. Perform a search for a similarly titled item that would be available.
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.:
- Awokuse, Titus O., 2005. "Impact of Macroeconomic Policies on Agricultural Prices," Agricultural and Resource Economics Review, Northeastern Agricultural and Resource Economics Association, vol. 34(2), October.
- Joonsuk Chu & Ronald A. Ratti, 1997. "Effects of Unanticipated Monetary Policy on Aggregate Japanese Output: The Role of Positive and Negative Shock," Canadian Journal of Economics, Canadian Economics Association, vol. 30(3), pages 722-41, August.
- 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.
- Feridun, M., & Folawewo, A. O. & Osinubi, T.S ., 2005. "Monetary Policy and Macroeconomic Instability in Nigeria: A Rational Expectation Approach," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 5(2).
- Khamfula, Y., 2006. "Output Growth and Monetary Policy Interaction in a Common Monetary Area: Forecasting with VEC Models in Namibia, Lesotho, South Africa and Swaziland, 1981-2004," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2).
- Morten O. Ravn & Martin Sola, 2004. "Asymmetric effects of monetary policy in the United States," Review, Federal Reserve Bank of St. Louis, issue Sep, pages 41-60.
- Thoma, Mark A., 1994. "Subsample instability and asymmetries in money-income causality," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 279-306.
- Peter S. Sephton, 1989. "Relative Prices and Money: Some Canadian Evidence," Canadian Journal of Agricultural Economics/Revue canadienne d'agroeconomie, Canadian Agricultural Economics Society/Societe canadienne d'agroeconomie, vol. 37(2), pages 269-278, 07.
- Cover, James Peery, 1992. "Asymmetric Effects of Positive and Negative Money-Supply Shocks," The Quarterly Journal of Economics, MIT Press, vol. 107(4), pages 1261-82, November.
- El Bouhadi, A. & Benali, M., 2006. "The Moroccan Monetary and Financial Structure Reforms and Economic Agents´Behaviour," Applied Econometrics and International Development, Euro-American Association of Economic Development, vol. 6(2).
- W.A. Naudé, 1995. "Monetary Policy and Relative Agricultural Producer Prices in South Africa," South African Journal of Economics, Economic Society of South Africa, vol. 63(1), pages 29-35, 03.
- René Garcia & Huntley Schaller, 1999.
"Are the Effects of Monetary Policy Asymmetric?,"
Carleton Economic Papers
99-17, Carleton University, Department of Economics.
- Garcia, R. & Schaller, H., 1995. "Are the Effects of Monetary Policy Asymmetric?," Cahiers de recherche 9505, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
- Garcia, R. & Schaller, H., 1995. "Are the Effects of Monetary Policy Asymmetric?," Cahiers de recherche 9505, Universite de Montreal, Departement de sciences economiques.
- René Garcia & Huntley Schaller, 1995. "Are the Effects of Monetary Policy Asymmetric?," CIRANO Working Papers 95s-06, CIRANO.
- Michael T. Belongia, 1991. "Monetary policy and the farm/nonfarm price ratio: a comparison of effects," Review, Federal Reserve Bank of St. Louis, issue Jul, pages 30-46.
- Lucas, Robert E, Jr, 1973. "Some International Evidence on Output-Inflation Tradeoffs," American Economic Review, American Economic Association, vol. 63(3), pages 326-34, June.
- Devadoss, Stephen & Meyers, William H. & Starleaf, Dennis R., 1990. "Impacts of U.S. Monetary Policies on the Farm Sector: An Econometric Analysis," Staff General Research Papers 326, Iowa State University, Department of Economics.
- Weise, Charles L, 1999. "The Asymmetric Effects of Monetary Policy: A Nonlinear Vector Autoregression Approach," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 31(1), pages 85-108, February.
- Alan G. Isaac & David E. Rapach, 1997. "Monetary Shocks and Relative Farm Prices: A Re-examination," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 79(4), pages 1332-1339.
- Alan G. Isaac & David E. Rapach, 1996. "Monetary Shocks and Real Farm Prices: A Re-Examination," Others 9602001, EconWPA.
- Devadoss, Stephen & Meyers, William H., 1987. "Relative Prices and Money: Further Results for the United States," Staff General Research Papers 10856, Iowa State University, Department of Economics.
- Khalid Mushtaq & Abdul Ghafoor & Abedullah & Farhan Ahmad, 2011. "Impact of Monetary and Macroeconomic Factors on Wheat Prices in Pakistan: Implications for Food Security," Lahore Journal of Economics, Department of Economics, The Lahore School of Economics, vol. 16(1), pages 95-110, Jan-Jun.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Rangan Gupta).
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.