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

• Goodness C. Aye ^[1] ; Rangan Gupta ^[2]
  1. [1] University of Agriculture

     University of Agriculture

     Pakistán

     
  2. [2] University of Pretoria

     University of Pretoria

     City of Tshwane, Sudáfrica

     
• Localización: Estudios Economicos Regionales y Sectoriales : EERS: Regional and sectoral economic studies : RSES, ISSN 1578-4460, Vol. 12, Nº. 1, 2012, págs. 127-151
• Idioma: inglés
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• Dialnet Métricas: 1 Cita
• Resumen

  • 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.

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