IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this paper or follow this series

The Effects of Monetary Policy On Real Farm Prices in South Africa

  • Goodness C. Aye

    ()

    (Department of Agricultural Economics, University of Agriculture, Makurdi, Nigeria)

  • Rangan Gupta

    ()

    (Department of Economics, University of Pretoria)

This 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.

To 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.

Paper provided by University of Pretoria, Department of Economics in its series Working Papers with number 201119.

as
in new window

Length: 28 pages
Date of creation: Oct 2011
Date of revision:
Handle: RePEc:pre:wpaper:201119
Contact details of provider: Postal: PRETORIA, 0002
Phone: (+2712) 420 2413
Fax: (+2712) 362-5207
Web page: http://www.up.ac.za/economics
More information through EDIRC

References listed on IDEAS
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.:

as in new window
  1. 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.
  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.
  3. Garcia, R. & Schaller, H., 1995. "Are the Effects of Monetary Policy Asymmetric?," Cahiers de recherche 9505, Centre interuniversitaire de recherche en économie quantitative, CIREQ.
  4. 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.
  5. 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.
  6. Alan G. Isaac & David E. Rapach, 1996. "Monetary Shocks and Real Farm Prices: A Re-Examination," Others 9602001, EconWPA.
  7. 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.
  8. 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.
  9. 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.
  10. Thoma, Mark A., 1994. "Subsample instability and asymmetries in money-income causality," Journal of Econometrics, Elsevier, vol. 64(1-2), pages 279-306.
  11. 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.
  12. 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).
  13. 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.
  14. Johansen, Soren, 1991. "Estimation and Hypothesis Testing of Cointegration Vectors in Gaussian Vector Autoregressive Models," Econometrica, Econometric Society, vol. 59(6), pages 1551-80, November.
  15. 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.
  16. Guisan, M.Carmen & Exposito, P, 2001. "La agricultura en España y en la OCDE, 1900-2000," Regional and Sectoral Economic Studies, Euro-American Association of Economic Development, vol. 1(2), pages 97-120.
  17. 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.
  18. 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.
  19. 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).
  20. 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.
  21. 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).
  22. 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.
Full references (including those not matched with items on IDEAS)

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:pre:wpaper:201119. See general information about how to correct material in RePEc.

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.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.