Grain Price Volatility in a Small Open Economy

Maurice Roche and Kieran McQuinn

Economics Department Working Paper Series from Department of Economics, National University of Ireland - Maynooth

Abstract: 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.

Keywords: Grain Price Risk; Multivariate GARCH (search for similar items in EconPapers)
Pages: 35 pages
Date: 2002
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Citations: View citations in EconPapers (1)

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Journal Article: Grain price volatility in a small open economy (2003)
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