Hostname: page-component-cd9895bd7-jkksz Total loading time: 0 Render date: 2024-12-26T14:59:06.693Z Has data issue: false hasContentIssue false
  • English
  • Français

Exchange Rates Impacts on Agricultural Inputs Prices using VAR

Published online by Cambridge University Press:  26 January 2015

Osei Yeboah ,
Saleem Shaik  and
Albert Allen
Osei Yeboah
Affiliation:
North Carolina A&T State University, Greensboro, NC
Saleem Shaik
Affiliation:
North Dakota State University, Fargo, ND
Albert Allen
Affiliation:
Mississippi State University, Starkville, MS
Get access Rights & Permissions [Opens in a new window]

Abstract

The effects of the U.S. dollar exchange rate versus the Mexican peso are evaluated for four traded nonfarm-produced inputs (fertilizer, chemicals, farm machinery, and feed) in the U.S. Unit root tests suggest that the exchange rate and the four input price ratios support the presence of unit roots with a trend model but the presence unit roots can be rejected in the first difference model. This result is consistent with a fixed price/flex price conceptual framework, with industrial prices more likely to be unresponsive to the exchange rate than farm commodity prices.

Keywords

exchange ratepass-throughlaw of one priceSURVARF14F31F36F42C23
Type
Invited Paper Sessions
Information
Journal of Agricultural and Applied Economics , Volume 41 , Issue 2 , August 2009 , pp. 511 - 520
Copyright
Copyright © Southern Agricultural Economics Association 2009

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Abeysinghe, T., and Yeok, T.L. “Exchange Rate Appreciation and Export Competitiveness: The Case of Singapore.” Applied Economics 30(1998:51–55.CrossRefGoogle Scholar
Ardeni, R.G “Does the Law of One Price Really Hold for Commodity Prices?” American Journal of Agricultural Economics 71(1989): 661–69.CrossRefGoogle Scholar
Bradshaw, G.W., and Orden, D. “Granger Causality from the Exchange Rate to Agricultural Prices and Export Sales.” Western Journal of Agricultural Economics 15(1990): 100–10.Google Scholar
Breusch, T.S., and Pagan, A.R. “A Simple Test for Heteroscedasticity and Random Coefficient Variation.” Econometrica 47,5(1979): 1287–94.CrossRefGoogle Scholar
Byrne, J.P., Darby, J., and MacDonald, R. “US Trade and Exchange Rate Volatility: A Real Sectoral Bilateral Analysis.” Journal of Macroeconomics 30(2008:238-59.CrossRefGoogle Scholar
Campa, J.M., and Goldberg, L.S. “Distribution Margins, Imported Inputs, and Sensitivity of the CPI to Exchange Rates.” Federal Reserve Bank of New York Staff Reports, Staff Report No. 247, April 2006.CrossRefGoogle Scholar
Campa, J.M., and Goldberg, L.S. “Exchange Rate Pass-Through into Import Prices.” The Review of Economics and Statistics 87,4(2005:679-90.CrossRefGoogle Scholar
Carlson, G., Deal, J., McEwan, K., and Deen, B. “Pesticide Price Differentials between Canada and the U.S.” Prepared for Economic Research Service (ERS) of the United States Department of Agriculture (USDA) and Agriculture and Agri-Food Canada, Fall 1999.Google Scholar
Carter, C.A., Gray, R.S., and Furtan, W.H. “Exchange Rate Effects on Inputs and Outputs in Canadian Agriculture.” American Journal of Agricultural Economics 72,3(August 1990): 738—43.CrossRefGoogle Scholar
Carter, C.A., and Hamilton, N.A. “Wheat Inputs and the Law of One Price.” Agribusiness 5(1989:489-96.3.0.CO;2-R>CrossRefGoogle Scholar
Carter, A., Collin, R.S., and Gray, W.H. “Furtan Source.” American Journal of Agricultural Economics 72,3(1990:738-43.CrossRefGoogle Scholar
Chambers, R.G., and Just, R.E. “Effects of Exchange Rate Changes on U.S. Agriculture A Dynamic Analysis.” American Journal of Agricultural Economics 63(1981):32–46.CrossRefGoogle Scholar
Engel, C. “Accounting for U.S. Real Exchange Rate Changes .” Journal of Political Economy 107(1999:507–38.CrossRefGoogle Scholar
Euromonitor International. 30th ed. International Marketing Data and Statistics, 2006.Google Scholar
Foreign Agricultural Trade of United States (FATUS). (2006) USDA Economic Research Service (ERS). Internet site: www.ers.usda.gov/.Google Scholar
Foreign Agricultural Trade of U.S. (FATUS). (2007) USDA Economic Research Service (ERS). Internet site: www.ers.usda.gov.Google Scholar
Froot, K.A., Kim, M., and Rogoff, K. “The Law of One Price Over 700 Years.” National Bureau of Economic Research Working Paper 5132, May 1995.CrossRefGoogle Scholar
Goldberg, P.K., and Knetter, M.M. “Goods Prices and Exchange Rates: What Have We Learned?” Journal of Economic Literature 35,3(1997): 1243–72.Google Scholar
Godfrey, L.G “Testing for Higher Order Serial Correlation in Regression Equations when the Regressors Include Lagged Dependent Variables.” Econometrica 46(1978a):1303–10.CrossRefGoogle Scholar
Godfrey, L.G “Testing Against General Autoregressive and Moving Average Error Models when the Regressors Include Lagged Dependent Variables.” Econometrica 46(1978b): 1293–301.CrossRefGoogle Scholar
Goodwin, B.K., and Schroeder, T.C. “Price Dynamics in International Wheat Markets.” Canadian Journal of Agricultural Economics 39(1991:237-54.CrossRefGoogle Scholar
Hahn, E. “The Impact of Exchange Rate Shocks on Sectoral Activity and Prices in the Euro Area.” European Central Bank Euro-system Working Paper Series No. 796, August 2007.CrossRefGoogle Scholar
Parsley, D., and Popper, H. “Understanding Real Exchange Rate Movements with Trade in Intermediate Products.” (2006). Internet site: http://papers.ssrn.com/sol3/papers.cfm?abstract_id=904323 (Accessed November 16, 2008).Google Scholar
Parsley, D., and Wei, S. “The Micro-Foundations of Big Mac Real Exchange Rates.” Hungarian Academy of Sciences Institute of Economics Discussion Papers, New Series MT-DP 2003/6, Budapest, Hungary, June 2003.Google Scholar
Saghaian, S.H., Reed, M.R., and Marchant, M.A. “Monetary Impacts and Overshooting of Agricultural Prices in an Open Economy.” American Journal of Agricultural Economics 84,1(February 2002):90–103.CrossRefGoogle Scholar
U.S. Department of Agriculture (USDA), National Agricultural Statistics Service (NASS). Agricultural Prices. Selected issues.Google Scholar
U.S. Department of Agriculture (USDA), Economic Research Service (ERS). Agricultural Outlook. Selected issues.Google Scholar
White, H. “A Heteroskedasticity-Consistent Co-variance Matrix Estimator and a Direct Test for Heteroskedasticity.” Econometrica 48,4(1980): 817–38.CrossRefGoogle Scholar
Xu, M., and Orden, D. “Exchange Rate Effects on Canadian/U.S. Agriculture ” Paper presented at the annual meeting of the American Agricultural Economics Association, Long Beach, California, July 28-31, 2002.Google Scholar