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Monetary Policy Shocks and Real Farm Price: Evidence from Identification Scheme Using Federal Funds

Author

Listed:
  • Doo Bong Han

    (Korea University)

  • Soyoung Kim

    (Korea University)

Abstract

This paper examines the effects of monetary policy shocks on the real farm price using VAR models in the U.S. This paper identifies monetary policy shocks with the Federal Funds rate shocks, instead of M1 shocks that have been frequently used in past studies on monetary policy shocks and farm price. The main results are; 1) contractionary monetary policy shocks significantly decrease the real or relative farm price in the short run; 2) although the overall contribution of monetary policy shocks on the real farm price is relatively small, monetary policy shocks were the dominant source of the real farm price fulctuations in a few historical episodes such as the early 80's farm financial crisis; 3) detailed dynamics of nominal and real farm price support the overshooting hypothesis only partially.

Suggested Citation

  • Doo Bong Han & Soyoung Kim, 2005. "Monetary Policy Shocks and Real Farm Price: Evidence from Identification Scheme Using Federal Funds," Korean Economic Review, Korean Economic Association, vol. 21, pages 163-178.
    • Handle: RePEc:kea:keappr:ker-20051231-21-2-01
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    File URL: http://keapaper.kea.ne.kr/RePEc/kea/keappr/KER-20051231-21-2-01.pdf
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    Cited by:

    1. Kim, Jihae & Kim, Soyoung, 2021. "Monetary policy shocks and delayed overshooting in farm prices and exchange rates," International Review of Economics & Finance, Elsevier, vol. 71(C), pages 620-628.

    More about this item

    Keywords

    monetary policy shocks; real farm price; overshooting; VAR;
    All these keywords.

    JEL classification:

    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q14 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Finance
    • E52 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Monetary Policy
    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models

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