Premium
Variance of Agricultural Prices, Industrial Prices, and Money
Author(s) -
Han Doo Bong,
Penson John B.,
Jansen Dennis W.
Publication year - 1990
Publication title -
american journal of agricultural economics
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.949
H-Index - 111
eISSN - 1467-8276
pISSN - 0002-9092
DOI - 10.2307/1242638
Subject(s) - economics , conditional variance , variance (accounting) , autoregressive conditional heteroskedasticity , agriculture , shock (circulatory) , industrial production , econometrics , money supply , monetary economics , agricultural economics , monetary policy , macroeconomics , volatility (finance) , medicine , ecology , accounting , biology
The relative uncertainty of agricultural prices and industrial prices with respect to the uncertainty of growth in the money supply are investigated utilizing multivariate ARCH and GARCH analysis. The conditional variances of agricultural prices were shown to dwarf the variances of industrial prices and the money supply. The relatively greater sensitivity of the conditional variance of agricultural prices to changes in the variance of the money supply than industrial prices found in this analysis provides a further perspective on the uncertainty confronting farmers, including the impacts of the monetary policy shock that precipitated the farm financial crisis in the early 1980s.