RELATIVE PRICES AND MONEY - A VECTOR AUTOREGRESSION ON BRAZILIAN DATA
Academic Article
Overview
Identity
Additional Document Info
Other
View All
Overview
abstract
Recent data on Brazilian agricultural prices, industrial prices, and money supply are analyzed in a vector autoregression. The empirical findings show strong, one-way, Granger-type causality from money supply to agricultural prices; while feedback is observed between industrial prices and money supply. Under the usual monetarist ordering of contemporaneous innovation covariance, agricultural prices do not adjust faster than industrial prices to a shock in the money supply. 1984 American Agricultural Economics Association.