Hostname: page-component-cd9895bd7-jn8rn Total loading time: 0 Render date: 2024-12-24T16:36:31.558Z Has data issue: false hasContentIssue false
  • English
  • Français

The U.S. Agricultural Sector and the Macroeconomy

Published online by Cambridge University Press:  26 January 2015

Jungho Baek  and
Won W. Koo
Jungho Baek
Affiliation:
Department of Economics, University of Alaska, Fairbanks, Alaska
Won W. Koo
Affiliation:
Department of Agribusiness and Applied Economics, North Dakota State University, Fargo, North Dakota
Get access Rights & Permissions [Opens in a new window]

Abstract

The effects of the exchange rate, the U.S. agricultural price, the domestic income, and the interest rate on the U.S. net farm income are investigated in a cointegration framework. For this purpose, the Phillips-Hansen fully-modified cointegration (FM-OLS) procedure is applied to annual data for the period 1957-2008. Results suggest that there exists the long-run equilibrium relationship between the U.S. net farm income and the selected macroeconomic variables. We also find that the exchange rate and U.S. agricultural price are more important than other variables in determining the U.S. net farm income.

Keywords

agricultural priceexchange rategross domestic productinterest ratenet farm incomePhillips-Hansen fully-modified cointegration techniqueC22E23Q11
Type
Invited Paper Sessions
Information
Journal of Agricultural and Applied Economics , Volume 42 , Issue 3 , August 2010 , pp. 457 - 465
Copyright
Copyright © Southern Agricultural Economics Association 2010

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

Baek, J., and Koo, W.W. “Dynamic Interrelationships between the U.S. Agricultural Trade Balance and the Macroeconomy.” Journal of Agricultural and Applied Economics 39,3(2007):457–70.Google Scholar
Baek, J., “Identifying Macroeconomic Linkages to U.S. Agricultural Trade Balance.” Canadian Journal of Agricultural Economics 56(2008):63–77.CrossRefGoogle Scholar
Baek, J., “On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables.” Journal of Agricultural and Applied Economics 41,2(2009):521–28.Google Scholar
Bessler, D.A., and Babula, R.A. “Forecasting Wheat Exports: Do Exchange Rates Matter?” Journal of Business & Economic Statistics 5(1987):397–406.Google Scholar
Bradshaw, R., and Orden, D. “Granger Causality from the Exchange Rate to Agricultural Prices and Export Sales.” Western Journal of Agricultural Economics 15,1(1990):100–10.Google Scholar
Chambers, R.G. “Interrelationships between Monetary Instruments and Agricultural Commodity Trade.” American Journal of Agricultural Economics 63,5(1981):934–41.CrossRefGoogle Scholar
Chambers, R.G. “Agricultural and Financial Market Interdependence in the Short-Run.” American Journal of Agricultural Economics 66,1(1984):12–24.Google Scholar
Dickey, D.A., and Fuller, W.A. “Distribution of the Estimators for Autoregressive Time Series with a Unit Root.” Journal of the American Statistical Association 74(1979):427–31.Google Scholar
Elliott, G., Rothenberg, T.J., and Stock, J.H. “Efficient Tests for an Autoregressive Unit Root.” Econometrica 64(1996):813–36.Google Scholar
Engle, R., and Granger, C.W.J. “Cointegration and Error-Correction: Representation, Estimation and Testing.” Econometrica 55(1987):251–76.Google Scholar
Hakkio, C, and Rush, M. “Cointegration: How Short Is the Long Run?” Journal of International Money and Finance 10,4(1991):571–81.Google Scholar
Hargreaves, CP. Nonstationarity Time-Series Analysis and Cointegration. Oxford, UK: Oxford University Press, 1994.Google Scholar
Harris, R., and Sollis, R. Applied Time-Series Modeling and Forecasting. Chichester, UK: John Wiley and Sons, 2003.Google Scholar
Johansen, J. “Statistical Analysis of Cointegration Vector.” Journal of Economic Dynamics and Control 12(1988):231–54.CrossRefGoogle Scholar
Johansen, J., and Juselius, K. “Maximum Likelihood Estimation and Inference on Cointegration with Application to the Demand for Money.” Oxford Bulletin of Economics and Statistics 52,2(1990):169–210.Google Scholar
Maddala, G.S., and Kim, I.M. Unit Roots, Cointegration, and Structural Change. Cambridge, UK: Cambridge University Press, 1998.Google Scholar
Orden, D. “Exchange Rate Effects on Agricultural Trade.” Journal of Agricultural and Applied Economics 34,2(2002):303–12.Google Scholar
Perman, P. “Cointegration: An Introduction to the Literature.” Journal of Economic Studies (Glasgow, Scotland) 18,3(1991):3–30.Google Scholar
Phillips, P.C.B.and Hansen, B. “Statistical Inference in Instrumental Variables Regression with 1(1) Processes.” The Review of Economic Studies 57,1(1990):99–125.Google Scholar
Phillips, P.C.B.and Loretan, M. “Estimating Long-Run Economic Equilibria.” The Review of Economic Studies 58,3(1991):407–36.Google Scholar
Schuh, G.E. “The Exchange Rate and U.S. Agriculture.” American Journal of Agricultural Economics 56,1(1974):1–13.Google Scholar
Shane, M., Liefert, W., Morehart, M., Peters, M., Dillard, J., Torgersen, D., and Edmondson, W. “The 2008/2009 World Economic Crisis: What It Means for U.S. Agriculture.” Economic Research Service Report WRS-09-02. USDA, 2009.Google Scholar
Stock, J.M. “Asymptotic Properties of the Least Squares Estimators of the Cointegrating Vectors.” Econometrica 55(1987):1035–56.Google Scholar