tips inflation expectations and the financial crisis the authors show that inefficiencies in the u s market for inflation linked bonds can be exploited by informed traders who include survey estimates or inflation model forecasts in trades on breakeven inflation the treasury inflation protected securities market has yet to fulfill investors expectations as a low risk efficient and liquid financial instrument

agricultural price instability a survey of competing explanations and remedies there are two explanations for agricultural price dynamics one follows cobweb logic and models fluctuations driven by expectation errors but emphasises that these expectations create complex dynamics and possibly chaos the other stems from the rational expectations tradition of dynamics driven by real shocks the empirical evidence tends to support the latter but is not conclusive the rational expectations model generates an optimal dynamic path from which no improvement can be expected from public intervention however if we take account of all the potential market failures in agricultural markets and especially in developing countries this conclusion might require some qualifications although an appropriate policy design for stability has still to be achieved this paper surveys the positive and normative literature on agricultural prices highlighting empirical evidence and identifying remaining unresolved issues

real and money wages output and inflation in the semi industrialized world recent structuralist ideas about real and money wage changes are reviewed addressing six questions 1 in an economy closed to trade do real wage increases cause output to rise or fall 2 if output is at an upper bound what are the roles of real wage and wealth movements in macro adjustment 3 taking effective demand into account do money wage cuts stimulate employment 4 in an open economy does money wage reduction or devaluation make output rise 5 at an output bound what are the respective roles of wage reduction and monetary restraint in slowing inflation 6 if inflation is driven by cost with output below capacity how do wage dynamics affect stabilization programmes based on de indexation and price freezes institutional factors suggest that wage cutting may be a counterproductive answer to all these policy questions in semi industrialized economies

us monetary policy and sectoral commodity prices abstract using a structural var svar model we examine the effects of the monetary policy of the united states on sectoral commodity prices including the non fuel commodity prices food prices beverage prices prices of agricultural raw materials prices of metals and prices of fuel energy commodities and macroeconomic activity the empirical evidence suggests that a u s monetary contraction leads to an immediate rise in the broad commodity price index which possibly reflects an aggregation bias greater expected inflation and speculation high production costs or some overshooting due to overreactions then the response erodes after six quarters as the positive interest rate shock vanishes and higher interest rates and liquidity drainage take traction despite this the aggregate price response masks the existence of significant heterogeneity in the price responses of the different types of commodity sectors more specifically a positive interest rate shock leads to i an initial pop in the price returns of the non fuel commodities which later reverses path and becomes negative as in the case of the prices of agricultural raw materials ii a positive and persistent rise in the volatile food prices iii a fall in the beverage prices and iv a persistent reduction in the prices of metals and the prices of energy prices our results also remain globally intact with respect to alternative specifications and identification schemes as well as to unconventional monetary policy effects similar results are also found when commodity futures prices are used we conclude that policymakers should recognize the source of sector inflation before embarking on contractionary monetary policy the design of core inflation targeting is also preferable to headline inflation targeting

the money supply and nominal agricultural prices in the early 1970s food and agricultural prices in the united states rose substantially faster than other prices now early in the 1980s farm prices are depressed relative to other prices in the economy numerous explanations of the behavior of nominal agricultural prices in the past decade have been offered these explanations may be broadly divided into two categories the first is the structuralist explanation it argues that real shocks in selected sectors of the economy such as global crop failures raise prices of certain goods these price increases are later validated or accommodated by expansions in the money supply so that the prices of other goods need not decline in contrast monetarist inflation explanations argue that autonomous increases in the money supply lead or cause the price increases and do not just occur ex post to accommodate real shocks ultimately both explanations recognize that without monetary expansion no long run inflation can occur the fundamental difference is

investigating m3 money demand in the euro area abstract euro area monetary growth has exceeded its target since 2001 likewise recent empirical studies did not find evidence in favour of a stable long run money demand function in contrast to the bulk of the literature we are able to identify a stable long run money demand relationship this result is obtained when the analysis is done without the short run homogeneity restriction between money and prices the basic equation can be improved by allowing for asymmetric adjustment in a low inflation environment opportunity costs of holding money have decreased thus the apparent monetary overhang is reconciled within standard models

stock market downswing and the stability of european monetary union money demand this article analyzes the question whether money demand in the euro area underwent a structural change in the end of 2001 when m3 money growth started to considerably overshoot the reference value set by the european central bank it is found that conventional specifications of money demand have in fact become unstable whereas specifications that are augmented with equity returns and volatility remain stable using such an augmented specification it turns out that the high m3 growth rates have not led to excess liquidity and thus do not pose a measurable threat to price stability

exchange rate uncertainty and agricultural trade panel cointegration analysis for turkey this study addresses the impact of exchange rate levels and uncertainty on bilateral agricultural trade between turkey and 20 major trading partners using panel cointegration analysis for annual data covering the period 1980 2005 results show that i the exchange rate level is less robustly linked to trade volumes than is exchange rate uncertainty ii exchange rate uncertainty is associated with smaller trade volumes in both directions but more so for imports than for exports and iii income growth in turkey is associated with greater imports just as income growth among trading partners is associated with greater exports these findings provide some clues for understanding the recent patterns of turkish agricultural trade and suggest directions for future research

tests for parameter instability in regressions with i 1 processes this article derives the large sample distributions of lagrange multiplier lm tests for parameter instability against several alternatives of interest in the context of cointegrated regression models the fully modified estimator of phillips and hansen is extended to cover general models with stochastic and deterministic trends the test statistics considered include the supf test of quandt as well as the lm tests of nyblom and of nabeya and tanaka it is found that the asymptotic distributions depend on the nature of the regressor processes that is if the regressors are stochastic or deterministic trends the distributions are noticeably different from the distributions when the data are weakly dependent it is also found that the lack of cointegration is a special case of the alternative hypothesis considered an unstable intercept so the tests proposed here may also be viewed as a test of the null of cointegration against the alternative of no cointegration the tests are applied to three data se

on passive money there are two ways in which the quantity of money may be included in a general equilibrium system as a datum whose value is fixed exogenously or as an unknown whose value is determined by the equilibrium system itself let them be called active money and passive money respectively current monetary theory uses the first approach the ricardo walraskeynes tradition in general equilibrium models is clearly of the activemoney variety this is also true of the more contemporary versions such as patinkin s well known system 1965 apart from the main stream of thought however a number of analyses exist which imply passive money the gold standard model as it is usually expounded belongs to this class the price of gold in terms of money is given while the stock of money is endogenously determined by the set of equilibrium conditions the form in which the quantity of money adapts to its equilibrium level differs according to the institutional mechanism convergence is assured through monetization and demonetization of gold in the pure goldcurrency system and through convertibility of notes into gold and vice versa in the gold standard system with paper money in either case the money supply is allowed to conform to its equilibrium volume this kind of monetary system in which the money price of a certain product or commodity is a datum and the quantity of money a dependent magnitude may be denoted in general as a commodity standard

forecasting wheat exports do exchange rates matter a vector autoregression is fit to recent u s data on wheat prices wheat export sales wheat export shipments and exchange rates forecast error decompositions and out of sample forecasts indicate that exchange rates have little influence on wheat sales and shipments

emerging market inflation linked bonds investigating the value added by inflation linked bonds in investment portfolios in emerging markets the author found that the inclusion of inflation linked bonds improved the risk return characteristics of investment portfolios in many of the emerging markets he also found that inflation linked bond returns correlate more positively with realized inflation than do nominal bonds even in the short run thus investors should consider adding emerging market inflation linked bonds to their investment portfolios

the impact of energy sector on overshooting of agricultural prices the federal reserve shifted monetary policy from early 2016 by gradually increasing nominal interest rates until very recently july 2019 a decline in commodity prices is expected in response to a contractionary policy according to the overshooting hypothesis agricultural prices could decrease more than their long run equilibrium levels i e overshoot in the short run this research contributes to the overshooting literature by including the energy sector in the overshooting model the theoretical results show that flexible energy prices share the burden of the shock with other flexible prices and thus agricultural prices and the exchange rate overshoot but less than the results of prior studies the empirical results confirm the theoretical expectation that agricultural commodities adjust faster than manufacturing prices but energy prices reduce the extent to which agricultural prices overshoot this adjustment behavior has implications for income stability and financial viability of farmers

investigating m3 money demand in the euro area new evidence based on standard models monetary growth in the euro area has exceeded its target level especially since 2001 likewise recent empirical studies did not find evidence in favour of a stable long run relationship between the variables entering the money demand function instead the equation appears to be increasingly unstable if more recent data are included since the link between money balances and macroeconomic variables seems to has become rather fragile these results put serious doubts concerning the rationale of monetary aggregates in the monetary policy strategy of the ecb however if the analysis is done without imposing a short run homogeneity restriction between money and prices a stable long run money demand relationship can be identified where recursively estimated parameters are almost stable in addition the corresponding error correction model survives a wide array of specification tests including procedures for nonlinearities and parameter instability hence the apparent monetary overhang is in line with standard models of money demand behaviour and is not expected to lead to a rise in inflation

food supply and inflation abstract the paper presents an analytic version of the latin american structuralist theory of inflation it emphasizes the difference between the productive sectors of the economy and draws attention to the fact that the inflationary process is closely linked to inconsistent claims for shares in income it describes a keynesian economy with two three sectors real desired wages are rigid money is passive it is shown that the structuralist hypotheses are capable of generating disequilibria that can lead to constantly rising prices without any built in mechanism to offset them steady inflation can only persist if workers allow their real wage to be kept below target as the workers try to catch on the model will blow up an accelerating inflation can be observed in many latin american countries during periods when wage settlements aimed at restoring inflation losses escaped the government control the paper also explores the implications of foreign trade it shows that under structuralist hypotheses external disequilibria cannot be corrected through exchange rate devaluations alone and it examines the stagflationary impacts of an increase in the price of imported intermediates

macro prices and structural change the role of macro price policy foreign exchange rates interest rates wage rates and indirectly the rural urban terms of trade or food prices for short in influencing the rate and composition of structural change in an economy has been emphasized recently as a major component of agricultural and food policy timmer falcon and pearson but empirical measurement of factors influencing structural change has largely ignored these price variables the classic study by chenery and syrquin for example measured economic structure by the size of agriculture s share in gross domestic product agshr the same as in this study but it contained only income and country size as explanatory variables although this may make sense in a world where basic price relationships among capital labor food and energy remain more or less constant the 1970s have seen sharp swings in these relationships in fact the two oil price shocks of the 1970s offer an opportunity to model a major perturbation as it ripples through the macroeconomy and into the agricultural sector no other single macroeconomic event in recent history has so opened windows of opportunity for understanding cause and effect relationships between the food and agricultural sector and basic macro price variables the adjustment of the agricultural sector to higher energy prices reflects the net and often conflicting pressures from both the farm and household micro adjustments and the macro adjustment processes not surprisingly the empirical experience from 1960 to 1980 of the seven asia pacific developing countries analyzed in this paper reflects drastically different agricultural sector adjustments the model and empirical specification used here permit such diversity energy prices affect the process of structural change primarily by altering the relative terms of trade between the agricultural and nonagricultural sectors of an economy this effect is caused mostly by macroeconomic pressures on the balance of payments and foreign exchange rates in the face of changed energy prices as schuh suggests agriculture tends to produce a relatively large share of tradable goods and services and thus energyxporting countries usually face a deterioration of the rural urban terms of trade when oil prices rise this causes a more rapid decline in agriculture s share in gross domestic product gdp than would be expected on the basis of the chenery syrquin analysis oil importing countries on the other hand should see improved rural urban terms of trade and a relatively healthier agriculture sector when oil prices rise their agriculture sectors shares in gdp should not decline as rapidly as in the chenery syrquin model

the macroeconomy of angola breaks and persistence in angolan macro data using long range dependence techniques we examine the order of integration of angola s macro variables from a fractional viewpoint based on a small open economy model the series examined are money reserves credit money supply lending rate exchange rates cpi gdp oil revenues and government expenditure for the period of january 2000 to december 2013 the results suggest that the variables are nonstationary with orders of integration equal to or higher than 1 suggesting nonmean reverting behaviour structural breaks reveal that the series reflect the imf intervention in angola in 2003 to control inflation policy implications are derived

a tips scorecard are they accomplishing their objectives treasury inflation protected securities were developed to provide 1 consumers with assets that permit hedging against real interest rate risk 2 nominal contract holders a means of hedging against inflation risk and 3 everyone with an indicator of the term structure of expected inflation this article evaluates progress toward these objectives

the effects of macroeconomic announcements on commodity prices this article analyzes the immediate reaction of a representative sample of commodity prices and two t bill yields to the unanticipated components of thirteen macroeconomic announcements surprises in the monetary variables cause the majority of the significant commodity price responses while these plus other cyclical surprises such as the unemployment rate cause significant lumber and t bill reactions the results provide strong support for the policy anticipations hypothesis and against the inflationary expectations hypothesis i e that monetary surprises cause changes in real interest rates rather than in nominal rates only as the inflationary expectations hypothesis contends

impact of macroeconomic policies upon agricultural trade and international agricultural development international commodity markets in the early 1980s have experienced a severe cyclical downturn high real rates of interest have discouraged stock holding and disinflation has caused asset market participants to shift out of commodities into financial assets this is only the most recent bout of turbulence since we passed from the stable bliss of the 1950s and 1960s the basic question is whether this instability results from a seemingly unending series of shocks or is there a more general basic explanation which transcends individual events

the structuralist explanation in the theory of inflation abstract this paper argues that three main elements form the basis of both the latin american and the european branches of the structuralist school of inflation theory these elements are 1 relative prices that change when economic structure changes 2 downward inflexibility of some money prices and 3 a passive money supply closing the deflationary gap caused by price increases the only difference between the two branches is what they consider to be the main cause of structural change the object of this paper is to show that models worked out by latin american structuralists during the 1960s and models developed recently by european structuralists have a common reduced form and describe similar inflationary processes

a note on the optimal rate of growth of international reserves the current reform of the international monetary system rests on the conception that the nominal quantity of external reserves taken in the aggregate must provide the flexible element in the adjustment between the supply of and the demand for real international liquidity carried to its logical conclusion this principle implies the adoption of a passive money system in the international sphere the nominal quantity of money ceases to be an exogenous datum to which prices and wages must conform and becomes a dependent variable having an equilibrium level 1 the new reserve assets are destined to satisfy the long run needs for reserve growth 2 yet as is well known the evaluation of such needs presents appreciable difficulties in itself this estimation problem is not new it was explicitly discussed in the report of the gold delegation appointed in 1929 to examine the trends in the gold demand and supply the method used by the delegation is worth recalling it is based upon the double assumption that 1 the monetary demand for gold is proportional to the quantity of money and 2 the demand for money is proportional to the aggregate value of transactions the second part of this hypothesis reflects obviously the quantity theory in its classical form the first part expresses instead an institutional situation in those years the countries under the gold standard used to maintain by virtue of law or of convention a margin of gold cover against the total amount of notes and of central bank sight liabilities the combination of the two ratios led the delegation to estimate the need for gold reserves as a fixed proportion of the total value of transactions

a monetary analysis of food price determination erratic food price movements during the 1970s have received much attention in recent literature salathe and boehm found that movements in retail food prices since 1970 have been substantially more volatile than in earlier periods and that the food component of the consumer price index cpi has often displayed an annual rate of change different from that of the total cpi such changes in agricultural prices reflect low price elasticities for food products and the difficulty of predicting weather patterns and their effects on farm output research interest stems from relatively larger recent price changes caused by persistent general inflation and unexpected supply disruptions several recent studies of retail food prices are based on cost push theories these models posit that as input costs faced by food manufacturers rise the increases are passed through to consumers in the form of higher product prices to model cost push behavior changes in components of the marketing bill such as processing packaging and transportation costs are measured and related to subsequent changes in retail product prices examples of such empirical studies are those by lamm heien and lamm and westcott however these models represent only one perspective of the pricing process this paper suggests the use of a family of alternative models in particular by making a clear distinction between changes in nominal and real values a different set of variables is selected to measure each component of overall price change it is argued that not all models can explain behavior of both real and nominal price changes

linking of u s monetary policy and exchange rates to world soybean markets abstract the linkage between macroeconomic policies and agricultural commodity trade has become an important research issue of agricultural economists this paper investigates the macroeconomic linkage of soybean trade competition between the exporting countries of the united states brazil and argentina in the ec 12 and japan import markets it is argued that u s monetary growth may have important impacts on the competitive position of u s soybean exports through exchange rates two relationships are investigated a the effects of u s monetary growth on the agricultural trade weighted exchange rates and b the responsiveness of agricultural commodity prices and u s exports to exchange rate movements results indicate that a weak dollar increases imports of soybeans and soymeal significantly which serves to increase the equilibrium world price and increase both u s and brazil argentina exports in the long run however during periods of more expansionary u s monetary policy there is little evidence of significant increases in market share position for u s soybeans and soymeal in world markets

how stable is the demand for money in emerging economies one of the key elements of implementing the monetary policy is stability of the demand for money the literature includes a large number of studies that have tested the stability of the money demand in developed as well as less developed countries but not in emerging economies of eastern europe as market based data becomes available from these countries there is an urgency to test old theories for these modern market oriented economies in this article we consider the experiences of armenia bulgaria the czech republic hungary poland russia and the slovak republic using the bounds testing approach to error correction modelling and cointegration we show that money demand is stable in these countries

managing adjustment costs political authority and the implementation of adjustment programs with special reference to african countries abstract the degree to which a government implements a program given no disruptive factors depends critically on its legitimate authority to carry out the program and the degree to which management aspects notably management costs of the program were satisfactorily dealt with at the design stage program designers should understand the nature dimensions justification and basis of legitimate authority when the government s legitimate authority is inadequate program designers must advise the government to obtain it a properly designed program should also include measures to speed up entry prevent inefficient exit and minimize unemployment and underutilization of capacity have a framework for ensuring competitive and open markets and arm the program manager with tools to alleviate social tensions arising from certain distributional consequences and to respond to predictable nationalistic preferences

when do tips prices adjust to inflation information this event study of market efficiency found that prices of treasury inflation protected securities tips adjust to inflation information without delay during the u s consumer price index cpi survey period and even before the beginning of the survey period the cumulative effect of unexpected inflation on the tips holding period returns peaks at the end of the survey period after the cpi announcement there is no discernible price adjustment

economic growth financial evolution and the long run behavior of velocity a general equilibrium model is presented in which buyers and sellers find it increasingly difficult to make private credit arrangements as economic activity spreads into new markets hence the demand for money increases as the structure of production and trade becomes more complex at the same time however financial innovations allow agents to economize on their cash balances together these effects of technological progress account for two empirical regularities the u shaped pattern in velocity and the ever increasing share of productive resources devoted to the private financial sector that are associated with the process of real economic growth

impacts of monetary and macroeconomic factors on food prices in eastern and southern africa eastern and southern africa has been experiencing relatively large increases in real food prices since the early 1980s real food prices in some african countries grew as much as 11 per year during the 1980 1996 period the huge volatility in food prices coincided with the implementation of structural adjustment programmes in several african countries this study examines the impacts of monetary and macroeconomic factors on real food prices in eastern and southern africa using the technique of cointegration and error correction modelling to test the long run relationship between real food prices and the factors that influence their behaviour in selected african countries demand elasticities for food are estimated for selected countries the empirical results show that changes in domestic food production coupled with income trade exchange rate and monetary policies have significant impacts on real food prices with wide implications for food availability and food security in the region

effects of the monetary macro economy on canadian agricultural prices this paper examines the importance of monetary macro economic variables on canadian agricultural prices using vector autoregressive var modeling the research results suggest that u s monetary macro economic policy as represented by the u s world exchange rate is the most significant monetary factor influencing canadian agricultural price instability the paper also examined how agricultural prices and manufactures prices respond to a monetary shock the results suggest that agricultural prices respond more quickly in the short run but that manufactures prices catch up in later periods this conclusion supports bordos contract length hypothesis and frankel s overshooting hypothesis it does not support tweeten s cost price squeeze hypothesis

internationally traded good prices world money and economic activity 1900 83 abstract the paper reviews the long term relationship between world money and international prices using new indices of internationally traded good prices an aggregate index of manufactures fuels and non fuel primary commodities and a partial index covering only non fuel commodities it verifies such relationship using both regression analysis and direct indirect granger causality tests the relationship between money and international prices is strong significant and quite stable over time the elasticity is close to unity for all international prices and less than unity for commodity prices the direction of causality is found to be from money to price not vice versa

is market liberalization compatible with food security storage trade and price policies for maize in southern africa abstract concern for the negative impacts of staple food price fluctuations limits the extent to which governments in low income countries are willing to liberalize their agricultural markets these concerns are legitimate as such price fluctuations can lead to high transactions costs for poor consumers in the short run and low growth in the long run however past government attempts to stabilize food prices completely have been expensive and ineffective use of a dynamic programming optimization model suggests that a different type of policy regime could reduce price variability significantly compared to what would prevail in free markets and could accomplish this at relatively low cost this policy regime includes allowing some official price flexibility with respect to changes in production and world price exporting when regional market opportunities exist and holding considerably lower stocks than in the past

has recovery begun africa s adjustment in the 1980s revisited this article reviews the 1989 debate between the world bank and the economic commission for africa over africa s adjustment and on the basis of most recent statistics concludes that there is little evidence that the region is in throes of a recovery some countries however did relatively better than others in the 1980s and an attempt is made to account for differences in performance it is concluded that success in adjustment results not from world bank international monetary fund programs as such but rather from policy coherence accompanied by healthy movement in key variables namely the real exchange rate and public development expenditure

constructing historical euro zone data existing methods of reconstructing historical euro zone data by aggregation of the individual countries aggregate data raises numerous difficulties especially due to past exchange rate changes the approach proposed here is designed to avoid such distortions and aggregate exactly when exchange rates are fixed we first compute growth rates within states aggregate these then cumulate this euro zone growth rate to obtain the aggregated levels variables the aggregate of the implicit deflator plice index coincides with the implicit deflator of our aggregate nominal and real data we apply the method to euro zone m3 gdp and prices over the previous two decades 1 background with the introduction on 31 december 1998 of the irrevocably fixed euro exchange rates eleven countries of the european union entered a new monetary union from that date onwards monetary policy for these countries is set by the newly formed european central bank ecb the governing council of the ecb bases its monetary policy on medium term assumptions regarding real gdp growth and the trend decline in the velocity of circulation of m3 ecb 1999a p 40 therefore the construction of historical data for aggregate m3 and gdp for the euro zone is of practical relevance to policy makers in addition any econometric model for euro zone countries requires such historical data this paper describes an approach to doing so from the aggregate data of the individual member states a number of previous reconstructions are noted but as these have important drawbacks an approach related to that in t6rnqvist 1936 is proposed and its properties are discussed although there have been many important contributions to index number theory see section 4 few are directly relevant to the problem confronted here where we wish to use the national aggregates from member states not the individual item data usually input into index calculations to construct a euro zone aggregate moreover the inherently non stationary nature of those national aggregates both from unit roots inducing integrated time series

causality of u s agricultural prices and the money supply further empirical evidence empirical evidence presented in this study indicates that the results of causality tests of u s agricultural prices and the money supply are sensitive to the lag selection relying on the minimum final prediction error causality testing technique a unidirectional causal flow is established from the monetary base to retail level agricultural prices no such flow is found to exist from m2 to retail agricultural prices when farm level agricultural prices are investigated no causal flow exists from any of the measures of the money supply to farm prices

the dynamic responses of crop and livestock prices to money supply shocks a bayesian analysis using long run identifying restrictions the impact of monetary policy on agriculture has been much debated this study examines the dynamic responses of u s agricultural prices to money supply shocks using three innovations first the variables responses are identified by long run money neutrality restrictions instead of the more common contemporaneous ordering second a bayesian approach to model uncertainty is used to add robustness to the estimation process third agricultural prices are disaggregated into crop and livestock components the empirical results find that both agricultural sectors benefit in the short run from positive money supply shocks with agricultural prices increasing relative to the general price level

euro area money demand and international portfolio allocation a contribution to assessing risks to price stability this chapter argues that a stable broad money demand for the euro area over the period 1980 2011 can be obtained by modelling cross border international portfolio allocation we first observe that in this first decade of the new millennium the breakdown of standard money demand specifications for the euro area and the strong developments in annual m3 growth coincide with large net flows in portfolio invest ment in the euro area we then estimate a new money demand which turns out to be stable by including variables explaining portfolio flows omitted in the traditional specifications

the effects of macroeconomic factors on south african agriculture significant research efforts have been devoted to understanding the effects of macroeconomic factors on the agriculture sector analysing the sources of volatility in the industry is critical for designing appropriate policies to stabilize agricultural markets reduce poverty and increase economic growth agriculture is a competitive sector with prices that are more flexible than those in nonagricultural sectors this article uses annual data over the 1957 2004 period and a vector error correction model in investigating the dynamic effects of exchange rates money supply and other macroeconomic variables on the agricultural sector in south africa overall real exchange rates interest rates inflation and money supply m3 shocks have significant and persistent impacts on agricultural output prices received by farmers and farm input prices m3 and interest rate shocks tend to put agriculture in a cost price squeeze agricultural price movements are a source of macroeconomic instability in the country r

interrelationships between monetary instruments and agricultural commodity trade during the last decade agricultural economists have devoted increasing attention to the macroeconomic aspects of agricultural problems indeed a recent presidential address to the american agricultural economics association tweeten centered on the macroeconomics of agriculture given the currency of the monetary approach to macroeconomics it is not surprising therefore that there is also a growing interest in the effects of monetary instruments and monetary phenomena on agricultural commodity trade in this paper i shall discuss what i feel are some of the most pertinent issues that researchers must address in this area before we proceed too far with our discussion it is important to define what i mean by a monetary instrument perhaps arbitrarily i reserve the term monetary instrument for those macroeconomic variables which are primarily determined within domestic or international monetary markets obvious examples are the level of the money supply interest rates and exchange rates i justify the term instrument by noting that as far as the agricultural sector is concerned these variables are by and large predetermined for example the levels of the money supply and interest rates in the united states are to a large extent determined by the policy of the federal reserve similarly the price of the currency the exchange rateis ultimately determined by the demand and the supply for the currency and thus at least partially by governmental policy the first step in any attempt to outline research needs and goals is an identification of what has been done in the past although the literature on the macroeconomics of agriculture is farily large and rapidly expanding eckstein and heien lamm schuh 1976 and tweeten are important examples relatively li tl attention has been given to the effect of monetary instruments on agricultural trade what attention has been given to this area of resea ch has revolved mainly around the role of exchange rates in determining agricultural exports and prices thus it is logical to start our discussion with a brief survey of the literature on exchange rates and agriculture

u s corn exports the role of the exchange rate abstract time series econometric methods are applied to monthly observational data over the period 1978 1992 on real exchange rates real corn prices corn export sales and corn export shipments for the united states in sample fit and out of sample forecast results are used to discern whether exchange rates have elicited systematic responses in u s corn prices sales and shipments and whether the dynamic transmission mechanisms tying these variables together have changed over time a structural break appears to have occurred in early 1985 no cointegration is found between exchange rates price sales and shipments in either sub period influences are all short run or between stationary variables the role of the exchange rate appears to have moderated in the post 1985 period implications for policy analysis are discussed

the informational role of commodity prices in formulating monetary policy a reexamination abstract this paper reexamines the issue of whether commodity prices provide useful information for formulating monetary policy through the application of a recent development in time series methodology developed by toda and yamamoto j econometrics 66 1995 225 250 we found that commodity prices signal the future direction of the economy

agricultural and financial market interdependence in the short run a theoretical model capable of examining the effects of various monetary policies on agriculture is developed results from comparative static experiments with the model show that a restrictive monetary policy may adversely affect agriculture results from the theoretical model are compared with earlier studies and are empirically investigated using vector autoregression techniques in general empirical analysis supports the theoretical developments

econometric analysis of aggregation in the context of linear prediction models this paper deals with the problem of aggregation where the focus of the analysis is whether to predict aggregate variables using macro or micro equations the grunfeldgriliches prediction criterion for choosing between aggregate and disaggregate equations is generalized to allow for contemporaneous covariances between the disturbances of micro equations and the possibility of different parametric restrictions on the equations of the disaggregate model a new test is proposed of the hypothesis of perfect aggregation which tests the validity of aggregation either through coefficient equality or through the stability over time of the composition of the regressors across the micro units the tools developed in the paper are then applied to employment demand functions for the uk economy disaggregated by 40 industries firstly a set of unrestricted log linear dynamic specifications are estimated for the disaggregate equations and then linear parameter restrictions are imposed as appropriate corresponding unrestricted and restricted aggregate equations are estimated two different levels of aggregation are considered aggregation over the 23 manufacturing industries and aggregation over all 40 industries of the economy in both cases the hypothesis of perfect aggregation is firmly rejected for the manufacturing industries the prediction criterion marginally favors the aggregate equation but over all industries the disaggregated equations are strongly preferred

maize pricing policy in eastern and southern africa abstract public sector attempts to determine official producer and consumer prices suffer from a number of problems made more apparent by the process of agricultural market liberalization six measures to ease the financial problems of policy adjustment are identified covering the clarification of the post reform role of official prices the move towards economically based pricing structures the introduction of within year price flexibility to reduce the costs of intervention the incorporation of macroeconomic linkages into the procedures for price setting the use of multi annual analysis and modelling for price determination and the articulation of modified systems of price support as marketing board networks are cut back an important conclusion is the need for a gradual phased approach to price reform

relative prices and money a vector autoregression on brazilian data recent data on brazilian agricultural prices industrial prices and money supply are analyzed in a vector autoregression the empirical findings show strong one way granger type causality from money supply to agricultural prices while feedback is observed between industrial prices and money supply under the usual monetarist ordering of contemporaneous innovation covariance agricultural prices do not adjust faster than industrial prices to a shock in the money supply

an empirical examination of the link between monetary policy and us agricultural commodity exports 1989 an empirical examination of the link between monetary policy and us agricultural commodity exports applied economics vol 21 no 2 pp 155 173

an investigation of the effect of monetary factors on agriculture abstract this paper uses an econometric model to assess some of the effects of macro monetary factors on u s agricultural markets attention is focused on impacts of decreasing increasing the level of domestic credit on agricultural trade prices inventory accumulation and domestic disappearance results show that tight monetary policy lowers prices and increase demand for domestic agriculture however the upward pressure on the exchange rate seriously deteriorates the position of u s exports in international markets

effects of exchange rate changes on u s agriculture a dynamic analysis an econometric model of the wheat corn and soybean markets is used to examine the dynamic effects of exchange rate fluctuation on u s commodity markets exports and agricultural prices are found to be sensitive to movements in the exchange rate while domestic factors such as disappearance and inventories are less sensitive but still responsive dramatic short run adjustments in prices and exports are followed by less dramatic but significant longer run adjustments thus the hypothesis of elastic response to the exchange rate seems particularly relevant for the short run

macroeconomics and agriculture in tunisia this article aims to analyse the impact of changes in the monetary policy and the exchange rate on agricultural supply prices and exports the methodology used is based on the multivariate cointegration approach ten variables are considered interest and exchange rates money supply inflation agricultural output and input prices agricultural supply and exports income and the rate of commercial openness the sample period covers annual data from 1967 to 2002 due to the short sample period two subsystems are considered first long run relationships are identified in each subsystem second both subsystems are merged in order to calculate the short run dynamics the results indicate that changes in macroeconomic variables have an effect on the agricultural sector but the reverse effect does not hold

neutrality of inflation in the agricultural sector abstract the paper considers the effect of inflation on the relative prices of products traded in auction markets prices of us agricultural products are used for the period 1951 1981 since agricultural products are widely traded the real forces of supply and demand specific to agriculture are represented by foreign agricultural prices the exchange rate is entered as a separate variable influencing domestic agricultural prices trade between the usa and the ten countries included in the federal reserve board s trade weighted dollar is considered the empirical results are consistent with the hypothesis that inflation did not alter relative agricultural prices when the real forces of supply and demand and the exchange rate are held constant

does the law of one price really hold for commodity prices in spite of the empirical failure of the law of one price it is usually assumed that commodity prices are perfectly arbitraged at least in the long run this paper argues that this assumption is counterfactual and that much of the empirical evidence provided to support it is flawed and affected by econometric shortcomings spurious regressions nonstationarity in the data inappropriate use of first differences an alternative methodology co integration by which a long run relationship between nonstationary series can be tested is proposed tests of nonstationarity and co integration for a group of commodities show quite uniformly that the law of one price as a long run relationship fails and that deviations from the pattern are permanent

commodity prices and money lessons from international finance many commodity prices have been falling rapidly recently as of thursday 31 july 1984 the journal of commerce s index for raw industrial materials had declined 10 relative to march and 20 relative to its peak value in 1980 in the current lull between political conventions this counts as something of a hot topic in washington some supply siders like alan reynolds from jude wanniski s firm polyconomics are warning that the large decline in commodity prices is signalling a general deflation throughout the economy and the possibility of widespread defaults reminiscent of the 1930s congressman jack kemp wants the federal reserve board to adopt a monetary policy rule that would automatically expand whenever commodity prices are low as now and automatically contract whenever commodity prices are high as in the late 1970s there has even been talk about embodying such a monetary rule as a plank in the republican party platform in dallas this month seldom before have steel scrap cotton and hides seemed so glamorous my topic today is the determination of the prices of basic commodities everything from agricultural commodities to the gold and other metals so precious to the supply siders

money demand in euroland abstract this paper explores the determinants of alternative monetary aggregates in euroland a sample consisting of quarterly data covering the 1980 1 1998 4 period is considered we are interested whether a conventionally defined money demand equation is stable in some aggregates as opposed to others both long run and short run relationships are considered in this paper overall the results indicate that broad narrow money demand in euroland is a stable unstable function of euroland wide income and interest rates

m3 money demand and excess liquidity in the euro area recent empirical studies have found evidence of unstable long run money demand functions if recent data are used if the link between money balances and the macroeconomy is fragile the rationale of monetary aggregates in the ecb strategy has to be doubted in contrast we present a stable long run money demand relationship for m3 for the period 1983 2006 to obtain the result the short run homogeneity restriction between money and prices is relaxed and a break in the income elasticity of money demand after 2001 is taken into account measures of excess liquidity do not show significant inflation pressures

estimating long run economic equilibria with stochastic trends an asymptotic theory is provided to analyze a menu of currently existing estimators of cointegrated systems we study in detail the single equation ecm seecm approach of hendry our theoretical results lead to prescriptions for empirical work such as specifying seecm s nonlinearly and including lagged equilibrium relationships rather than lagged differences of the dependent variable as covariates simulations support these prescriptions and point to problems of overfitting not encountered in the semiparametric approach of phillips and hansen 1990

monetary targeting in germany the stability of monetary policy and of the monetary system abstract for more than two decades the deutsche bundesbank has followed a strategy of pre announcing targets for the growth in broad money such consistency has not conflicted with limited flexibility in policy implementation the stable policy environment may have contributed to the stability of the monetary system in general and money demand in particular thus facilitating the maintenance of the strategy