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

Ping-Yu Chen, Chia-Lin Chang (), Chi-Chung Chen and Michael McAleer

Working Papers in Economics from University of Canterbury, Department of Economics and Finance

Abstract: 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: C22 C58 Q14 (search for similar items in EconPapers)
Pages: 36 pages
Date: 2013-01-26
New Economics Papers: this item is included in nep-agr and nep-ene
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://repec.canterbury.ac.nz/cbt/econwp/1307.pdf (application/pdf)

Related works:
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)
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)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cbt:econwp:13/07

Access Statistics for this paper

More papers in Working Papers in Economics from University of Canterbury, Department of Economics and Finance Private Bag 4800, Christchurch, New Zealand. Contact information at EDIRC.
Bibliographic data for series maintained by Albert Yee ().