The Impact of Energy Sector on Overshooting of Agricultural Prices
研究了美联储加息背景下，能源部门如何影响农产品价格超调程度，发现能源价格分担了冲击，使农产品价格和汇率超调幅度小于以往研究结果，对农民收入稳定有启示。
The Federal Reserve shifted monetary policy from early 2016 by gradually increasing nominal interest rates until very recently (July 2019). A decline in commodity prices is expected in response to a contractionary policy. According to the overshooting hypothesis, agricultural prices could decrease more than their long‐run equilibrium levels (i.e., overshoot) in the short run. This research contributes to the overshooting literature by including the energy sector in the overshooting model. The theoretical results show that flexible energy prices share the burden of the shock with other flexible prices and, thus, agricultural prices and the exchange rate overshoot but less than the results of prior studies. The empirical results confirm the theoretical expectation that agricultural commodities adjust faster than manufacturing prices, but energy prices reduce the extent to which agricultural prices overshoot. This adjustment behavior has implications for income stability and financial viability of farmers.