When prices spike: Identifying excessive volatility in fertilizer markets

Feng Yao and Manuel Hernandez
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Feng Yao: West Virginia University
Manuel Hernandez: IFPRI

No 26-02, Working Papers from Department of Economics, West Virginia University

Abstract: Sharp and volatile fertilizer price movements can hinder adoption and reduce agricultural productivity, especially among vulnerable smallholders. Using a nonparametric location-scale approach to model price returns, we quantify the conditional value-at-risk (CVaR) - the high return threshold exceeded with low probability - to identify excessive price spikes in potash, urea, and di-ammonium phosphate (DAP) markets. We use the bias-corrected estimator from Martins-Filho et al. (2018) and propose a simpler estimator based on Hill (1975). Backtesting results indicate superior performance of the Hill-based estimator, supporting its value as a convenient method for detecting unusual fertilizer price surges amid recurring global volatility.

Keywords: Price spikes; Excessive volatility; Fertilizers; Nonparametric estimation; Extreme Value Theory (search for similar items in EconPapers)
JEL-codes: C (search for similar items in EconPapers)
Pages: 13 pages
Date: 2026-01
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