Fertilizer, Natural Gas, and Corn: A Case of a Price Switching Regime

David Ripplinger and Dragan Miljkovic

No 290305, Agribusiness & Applied Economics Report from North Dakota State University, Department of Agribusiness and Applied Economics

Abstract: This study looks at changing relationships among ammonia, natural gas, and corn spot prices. Prices from April 2001 to May 2014 were tested for correlation, causation, and cointegration. Evidence of a regime switch is found during December 2007. Before this date natural gas prices Granger caused changes in fertilizer price, while after this date corn price Granger caused changes in the price of fertilizer. Johansen’s test found evidence of cointegration among the data leading to the use of a vector error correction model to estimate relationships among ammonia, natural gas, and corn prices. Results indicate that a regime shift did occur around December of 2007.

Keywords: Agricultural Finance; Crop Production/Industries; Demand and Price Analysis (search for similar items in EconPapers)
Pages: 23
Date: 2017-05-31
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Persistent link: https://EconPapers.repec.org/RePEc:ags:nddaae:290305

DOI: 10.22004/ag.econ.290305

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