Monetary policy shocks and delayed overshooting in farm prices and exchange rates

摘要

This study empirically investigated the effects of monetary policy shocks on farm prices and exchange rates by using vector auto-regression models with sign restrictions on impulse responses. The main empirical results are as follows. First, contractionary monetary policy shocks have significant negative effects on real farm prices, which suggests that farm prices respond more to monetary policy shocks than to the general price level. Second, the effects of monetary policy shocks on farm prices are stronger than the effects of monetary policy shocks on exchange rates. Third, farm price dynamics under monetary policy shocks show "delayed overshooting" as exchange rate dynamics do.