Grain Price Volatility in a Small Open Economy

Roche, Maurice and McQuinn, Kieran (2002) Grain Price Volatility in a Small Open Economy. Economics Department , National University of Ireland Maynooth. (Unpublished)

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This paper uses a multivariate vector error-correction generalized autoregressive conditional heteroscedasticity model to investigate the effect of British grain prices on their Irish equivalents. We find that in the long run the law of one price holds and in the short run the model captures the salient features of Irish grain prices. The model is used to compute rolling forecasts of the conditional means, variances and covariance of Irish grain prices one year ahead. We find that this model produces superior forecasts compared to those based on a commonly used methodology of an autoregressive conditional mean model where the second moments are estimated using a fixed weight moving average

Item Type: Other
Additional Information: Department of Economics, Finance and Accounting Working Papers Series N113/02/02
Keywords: Grain Price Risk, Multivariate GARCH
Academic Unit: Faculty of Social Sciences > Economics, Finance and Accounting
Item ID: 86
Depositing User: Ms Sandra Doherty
Date Deposited: 10 Feb 2005
Publisher: Economics Department , National University of Ireland Maynooth
Refereed: No

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