Hostname: page-component-8448b6f56d-sxzjt Total loading time: 0 Render date: 2024-04-17T01:53:48.353Z Has data issue: false hasContentIssue false
  • English
  • Français

On the Dynamic Relationship between U.S. Farm Income and Macroeconomic Variables

Published online by Cambridge University Press:  26 January 2015

Jungho Baek  and
Won W. Koo
Jungho Baek
Affiliation:
Department of Agribusiness and Applied Economics, North Dakota State University, Fargo, ND
Won W. Koo
Affiliation:
Department of Agribusiness and Applied Economics, North Dakota State University, Fargo, ND
Get access

Abstract

This study examines the short- and long-run effects of changes in macroeconomic variables—agricultural commodity prices, interest rates and exchange rates—on the U.S. farm income. For this purpose, we adopt an autoregressive distributed lag (ARDL) approach to cointegration with quarterly data for 1989–2008. Results show that the exchange rate plays a crucial role in determining the long-ran behavior of U.S. farm income, but has little effect in the short-run. We also find that the commodity price and interest rate have been significant determinants of U.S. farm income in both the short- and long-run over the past two decades.

Keywords

autoregressive distributed lag modelcommodity priceexchange ratefarm incomeinterest ratelong-runshort-runC22E23Q11
Type
Invited Paper Sessions
Information
Journal of Agricultural and Applied Economics , Volume 41 , Issue 2 , August 2009 , pp. 521 - 528
Copyright
Copyright © Southern Agricultural Economics Association 2009

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.CrossRefGoogle Scholar
Baek, J., and Koo, W.W. “Identifying Macroeconomic Linkages to U.S. Agricultural Trade Balance.” Canadian Journal of Agricultural Economics 56(2008): 63–77.CrossRefGoogle Scholar
Banerjee, A., Dolado, J.J., and Mestre, R. “Error-Correction Mechanism Tests for Cointegration in a Single-Equation Framework.” Journal of Time Series Analysis 19(1998:267–84.CrossRefGoogle 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(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.CrossRefGoogle Scholar
Elliott, G., Rothenberg, T.J., and Stock, J.H. “Efficient Tests for an Autoregressive Unit Root.” Econometrica 64(1996:813–36.CrossRefGoogle Scholar
Gonzalo, J. “Five Alternative Methods of Estimating Long-Run Equilibrium Relationship.” Journal of Econometrics 60(1994): 203–33.CrossRefGoogle Scholar
Johansen, J. Likelihood-based inference in cointegrated vector autoregressive models. Oxford: Oxford University Press, 1995.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.CrossRefGoogle Scholar
Kremers, J.J.M., Ericson, N.R., and Dolado, J.J. “The Power of Cointegration Tests.” Oxford Bulletin of Economics and Statistics 54(1992): 325–48.CrossRefGoogle Scholar
Ng, S., and Perron, P. “Lag Length Selection and the Construction of Unit Root Test with Good Size and Power.” Econometrica 69(2001): 1519–54.CrossRefGoogle Scholar
Orden, D. “Exchange Rate Effects on Agricultural Trade.” Journal of Agricultural and Applied Economics 34,2(2002:303–12.CrossRefGoogle Scholar
Pesaran, M.H., Shin, Y., and Smith, R.J. “Bounds Testing Approaches to the Analysis of Level Relationships.” Journal of Applied Econometrics 16(2001:289–326.CrossRefGoogle Scholar
Schuh, G.E “The Exchange Rate and U.S. Agriculture.” American Journal of Agricultural Economics 56,1(1974): 1–13.CrossRefGoogle Scholar