Multivariate GARCH models are employed to estimate time-varying hedge ratios for three commodities traded on the Winnip eg Commodity Exchange. GARCH hedge ratios are shown to be superior to those based on the traditional regression approach to calculating th e optimal hedge.

This paper examines daily data on exchange rates and the prices of three commodities traded on the Winnipeg Commodity Exchange. The temporal patterns of commodity prices and exchange rates are shown to be similar: daily data are significantly non-normal, with GARCH models capturing the processes...

W. Poole (1970) and Gordon Sparks (1979) used fixed-price models to examine the relative merits of various monetary policy instruments. This paper extends the discussion to a flex-price model. It illustrates that bank reserve accounting systems have no effect on the choice of interest-rate or...