Effects of Monetary Policy Shocks on Farm Prices and Exchange Rates in Korea |
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| Authors: | Jihae Kim Soyoung Kim |
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| Institution: | 1. Department of Agricultural Economics and Rural Development, Seoul National University, Seoul, South Korea;2. Department of Economics, Seoul National University, Seoul, Korea |
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| Abstract: | The effects of monetary policy shocks on farm prices and exchange rates in Korea are empirically investigated 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 significantly negative effects on real farm prices. Second, the SR effect on farm prices is significant but short-lived. The dynamic response of farm prices is consistent with the predictions of the “overshooting” model. Third, the effects of monetary policy shocks on farm prices are more significant than the effects of monetary policy shocks on exchange rates. |
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| Keywords: | exchange rate farm prices Korea monetary policy shocks overshooting VAR |
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