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Monetary Impacts on Prices in the Short and Long Run: Some Evidence from New Zealand

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  • John C. Robertson
  • David Orden

Abstract

This paper presents support for long-run monetary neutrality based on evidence that individual time series for money, manufacturing prices, and agricultural prices are nonstationary but cointegrated, with a stationary proportional long-run relationship among their levels. Dynamic simulations from a vector error-correction model with this restriction imposed show that monetary shocks shift relative prices in favor of agriculture in the short run and permanently raise nominal prices. Manufacturing price shocks have similar long-run effects but initially place agriculture in a cost-price squeeze, while agricultural price shocks are transitory and have little impact on the other series.

Suggested Citation

  • John C. Robertson & David Orden, 1990. "Monetary Impacts on Prices in the Short and Long Run: Some Evidence from New Zealand," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 160-171.
  • Handle: RePEc:oup:ajagec:v:72:y:1990:i:1:p:160-171.
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    File URL: http://hdl.handle.net/10.2307/1243156
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    Citations

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    Cited by:

    1. Christophe Gouel, 2012. "Agricultural Price Instability: A Survey Of Competing Explanations And Remedies," Journal of Economic Surveys, Wiley Blackwell, vol. 26(1), pages 129-156, February.
    2. Dmitry Burakov, 2016. "Elasticity of Agricultural Prices in Russia: An Empirical Study of Energy and Monetary Channels," International Journal of Energy Economics and Policy, Econjournals, vol. 6(3), pages 551-562.
    3. Triantafyllou, Athanasios & Dotsis, George, 2017. "Option-implied expectations in commodity markets and monetary policy," Journal of International Money and Finance, Elsevier, vol. 77(C), pages 1-17.
    4. Catherine Laroche-Dupraz & Marilyne Huchet-Bourdon & Anned-Linz Senadin, 2012. "Impact du taux de change sur la sécurité alimentaire des pays en développement," Post-Print hal-02746844, HAL.
    5. Burakov, D., 2016. "Oil Prices, Exchange Rate and Prices for Agricultural Commodities: Empirical Evidence from Russia," AGRIS on-line Papers in Economics and Informatics, Czech University of Life Sciences Prague, Faculty of Economics and Management, vol. 8(2), pages 1-15, June.
    6. 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.
    7. Florian Verheyen, 2010. "Monetary Policy, Commodity Prices and Infl ation – Empirical Evidence from the US," Ruhr Economic Papers 0216, Rheinisch-Westfälisches Institut für Wirtschaftsforschung, Ruhr-Universität Bochum, Universität Dortmund, Universität Duisburg-Essen.
    8. Verheyen, Florian, 2010. "Monetary Policy, Commodity Prices and Infl ation – Empirical Evidence from the US," Ruhr Economic Papers 216, RWI - Leibniz-Institut für Wirtschaftsforschung, Ruhr-University Bochum, TU Dortmund University, University of Duisburg-Essen.
    9. repec:zbw:rwirep:0216 is not listed on IDEAS
    10. Efstratios Loizou & Kostandinos Mattas & Angelos Pagoulatos, 1997. "Macro-monetary effects on agricultural prices: the case of Greek agriculture," Applied Economics Letters, Taylor & Francis Journals, vol. 4(7), pages 397-400.
    11. Abul Masih & Rumi Masih, 1997. "A comparative analysis of the propagation of stock market fluctuations in alternative models of dynamic causal linkages," Applied Financial Economics, Taylor & Francis Journals, vol. 7(1), pages 59-74.

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