Variance of Agricultural Prices, Industrial Prices, and Money

Doo Bong Han, John B. Penson and Dennis Jansen

American Journal of Agricultural Economics, 1990, vol. 72, issue 4, 1066-1073

Abstract: The relative uncertainty of agricultural prices and industrial prices with respect to the uncertainty of growth in the money supply are investigated utilizing multivariate ARCH and GARCH analysis. The conditional variances of agricultural prices were shown to dwarf the variances of industrial prices and the money supply. The relatively greater sensitivity of the conditional variance of agricultural prices to changes in the variance of the money supply than industrial prices found in this analysis provides a further perspective on the uncertainty confronting farmers, including the impacts of the monetary policy shock that precipitated the farm financial crisis in the early 1980s.

Date: 1990
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