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

Doo Bong Han and Soyoung Kim
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Doo Bong Han: Korea University

Korean Economic Review, 2005, vol. 21, 163-178

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.

Keywords: monetary policy shocks; real farm price; overshooting; VAR (search for similar items in EconPapers)
JEL-codes: C32 E52 Q11 Q14 (search for similar items in EconPapers)
Date: 2005
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