Monetary Impacts and Overshooting of Agricultural Prices in an Open Economy
扩展了Dornbusch的汇率超调模型，加入农业部门，并用协整和误差修正模型检验开放经济中农产品价格是否对货币冲击过度调整。实证发现农产品价格比工业品价格调整更快，短期影响相对价格，但长期货币中性不成立。
Abstract This article's focus is on the time adjustment paths of the exchange rate and prices in response to unanticipated monetary shocks. First, we expand the theoretical specification of the overshooting hypothesis by generalizing Dornbusch's model to include a third sector (i.e., agricultural prices). Second, we employ Johansen's cointegration test along with a vector error correction model to investigate whether agricultural prices overshoot in an open economy. The empirical results indicate that agricultural prices adjust faster than industrial prices to innovations in the money supply, affecting relative prices in the short run, but strict long‐run money neutrality does not hold.