Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility

Author

Ping-Yu Chen, Chia-Lin Chang (changchialin@nchu.edu.tw), Chi-Chung Chen and Michael McAleer
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No 13-024/III, Tinbergen Institute Discussion Papers from Tinbergen Institute

Abstract: See the publication in the Journal of Risk and Financial Management (2012). Volume 5(1), pages 78-114. The main purpose of this paper is to evaluate the effect of crude oil price on global fertilizer prices in both the mean and volatility. The endogenous structural breakpoint unit root test, ARDL model, and alternative volatility models, including GARCH, EGARCH, and GJR models, are used to investigate the relationship between crude oil price and six global fertilizer prices. The empirical results from ARDL show that most fertilizer prices are significantly affected by the crude oil price while the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods.

Keywords: Fertilizer Price; Oil Price; Volatility (search for similar items in EconPapers)
JEL-codes: Q14 C22 C58 (search for similar items in EconPapers)
Date: 2013-01-25
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http://papers.tinbergen.nl/13024.pdf (application/pdf)

Related works:
Working Paper: Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility (2013) 
Working Paper: Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility (2013) 
Working Paper: Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility (2013) 
Working Paper: Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility (2013) 
Journal Article: Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility (2012) 
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