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

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

No EI 2013-04, Econometric Institute Research Papers from Erasmus University Rotterdam, Erasmus School of Economics (ESE), Econometric Institute

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.

Date: 2013-01-01
New Economics Papers: this item is included in nep-agr and nep-ene
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Citations: View citations in EconPapers (2)

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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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