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Grain price volatility in a small open economy

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  • Maurice J. Roche
  • Kieran McQuinn

Abstract

This paper uses a multivariate 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 with those based on a commonly used approach of an autoregressive conditional mean model where the second moments are estimated using a fixed-weight moving average. Copyright 2003, Oxford University Press.

Suggested Citation

  • Maurice J. Roche & Kieran McQuinn, 2003. "Grain price volatility in a small open economy," European Review of Agricultural Economics, Oxford University Press and the European Agricultural and Applied Economics Publications Foundation, vol. 30(1), pages 77-98, March.
    • Handle: RePEc:oup:erevae:v:30:y:2003:i:1:p:77-98
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    Cited by:

    1. Fiona Thorne & Thia Hennessy, 2005. "The Role of Risk in the Decision to Produce Post-Decoupling A Stochastic Budgeting Example," Working Papers 0503, Rural Economy and Development Programme,Teagasc.
    2. Thorne, Fiona S. & Hennessy, Thia C., 2006. "The Role of Risk in the Decision to Produce Post-Decoupling - A Stochastic Budgeting Example," 2006 Annual Meeting, August 12-18, 2006, Queensland, Australia 25415, International Association of Agricultural Economists.
    3. Xing, Liu & Pietola, Kyosti, 2005. "Forward Hedging Under Price and Production Risk of Wheat," 2005 International Congress, August 23-27, 2005, Copenhagen, Denmark 24467, European Association of Agricultural Economists.
    4. Roche, M. & McQuinn, K., 2003. "Efficient allocation of land in a decoupled world," Economics Department Working Paper Series n1190103, Department of Economics, National University of Ireland - Maynooth.
    5. Sobczak, Wioleta & Kanetkar, Vinay, 2022. "Price Dependence in the Supply Chain on the Mushroom Market in Canada," International Journal on Food System Dynamics, International Center for Management, Communication, and Research, vol. 13(01), January.
    6. Boyle, Gerry & Conniffe, Denis & McQuinn, Kieran, 2005. "A New Mean Standard Deviation Utility Function and the Behaviour Towards Risk of Specialist Irish Agricultural Producers: 1988-1997," Research Technical Papers 5/RT/05, Central Bank of Ireland.
    7. Alan Woodland & Kishti Sen, 2010. "The volatility of Australian traded goods' prices," Applied Economics, Taylor & Francis Journals, vol. 42(30), pages 3849-3869.
    8. Pietola, Kyösti & Liu, Xing & Robles, Miguel, 2010. "Price, inventories, and volatility in the global wheat market," IFPRI discussion papers 996, International Food Policy Research Institute (IFPRI).
    9. Kemeny, Gabor & Fogarasi, Jozsef & Varga, Tibor & Toth, Orsolya & Toth, Kristof, "undated". "International wheat price volatility and the increasing export of Russia, Kazakhstan and Ukraine," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122550, European Association of Agricultural Economists.

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