A Multivariate Model for the Relationship Between Agricultural Prices and Inflation Uncertainty: Evidence Using Greek Data
This paper investigates the determinants of agricultural price formation emphasising on the detection of possible impacts caused by inflation uncertainty. The empirical methodology employs the GARCH technique to model the "uncertainty" variable, as well as VAR modelling and variance decomposition analysis to investigate possible causal effects among the involved variables.
References listed on IDEAS
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- Grennes, Thomas & Lapp, John S., 1986. "Neutrality of inflation in the agricultural sector," Journal of International Money and Finance, Elsevier, vol. 5(2), pages 231-243, June.
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