Testing the absorber hypothesis of exchange rates for the overshooting of agricultural prices in China
Testing the absorber hypothesis of exchange rates for the overshooting of agricultural prices in China
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DOI：
10.17221/309/2020-agricecon
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发表时间：
2021
期刊：
影响因子：
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通讯作者：
Jiawu Dai;Liurui Deng;Lan Yang
中科院分区：
文献类型：
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作者：
Jiawu Dai;Liurui Deng;Lan Yang
本研究旨在通过扩展现有的超调模型来检验农产品价格的超调效应和汇率的吸收体假说。我们使用现代时间序列方法和中国月度总量数据相结合，证明了农产品价格的超调确实发生了，因为货币扩张对灵活的农产品价格的影响明显大于相对粘性的工业品价格。格兰杰因果关系检验证实了货币扩张是农产品和工业品价格变动的一个可能决定因素，从而为超调假说提供了坚实的经验基础。我们的研究结果也证实了吸收者假说，在固定汇率制度（ERR）下的农产品价格的超调效果被证明是大于浮动汇率制度下。主要的政策含义是，政策制定者在调整宏观经济政策时，特别是在固定的错误率下，应注意货币扩张对农产品价格的溢出效应。
This study aims to test the overshooting effect of agricultural prices and the absorber hypothesis of exchange rates by extending the existing overshooting model. Using a combination of modern time series methods and monthly aggregate data from China, we demonstrate that overshooting of agricultural prices does indeed occur since the impact of monetary expansion on flexible agricultural prices is significantly larger than on relatively sticky industrial prices. Granger causality tests confirm that monetary expansion is a possible determinant of the movements of both agricultural and industrial prices, thus providing a solid empirical foundation for the overshooting hypothesis. Our findings also confirm the absorber hypothesis, in that the overshooting effect of agricultural prices under a fixed exchange rate regime (ERR) is shown to be greater than that under a floating ERR. The main policy implication is that policymakers should pay attention to the spillover effect of monetary expansion on agricultural prices when adjusting macroeconomic policies, especially under a fixed ERR.