Grain price volatility in a small open economy
使用多变量误差修正GARCH模型，研究英国粮食价格对爱尔兰粮食价格的影响，发现长期一价定律成立，且该模型在预测条件均值和方差方面优于常用方法。
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.