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Grain Price Volatility in a Small Open Economy
Roche, Maurice; McQuinn, Kieran
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
Keyword(s): Economics, Finance & Accounting; Grain Price Risk; Multivariate GARCH
Publication Date:
2002
Type: Other
Peer-Reviewed: No
Institution: Maynooth University
Citation(s): Roche, Maurice and McQuinn, Kieran (2002) Grain Price Volatility in a Small Open Economy. Economics Department , National University of Ireland Maynooth. (Unpublished)
Publisher(s): Economics Department , National University of Ireland Maynooth
File Format(s): application/pdf
Related Link(s): http://eprints.maynoothuniversity.ie/86/1/N1130202.pdf
First Indexed: 2014-09-21 05:14:51 Last Updated: 2014-11-25 05:19:07