Modeling the Volatility in Global Fertilizer Prices
AbstractThe main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model are estimated for six global fertilizer prices and the crude oil price. Weekly data for 2003-2008 for the seven price series are analysed. The empirical results suggest that the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that the peak crude oil price caused greater volatility in the crude oil price and global fertilizer prices.
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Bibliographic InfoPaper provided by University of Canterbury, Department of Economics and Finance in its series Working Papers in Economics with number 10/46.
Length: 31 pages
Date of creation: 01 Jul 2010
Date of revision:
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Volatility; Global fertilizer price; Crude oil price; Non-renewable fertilizers; Structural breakpoint unit root test;
Other versions of this item:
- Ping-Yu Chen & Chia-Lin Chang & Chi-Chung Chen & Michael McAleer, 2010. "Modeling the Volatility in Global Fertilizer Prices," KIER Working Papers 705, Kyoto University, Institute of Economic Research.
- Chen, P.-Y. & Chang, C-L. & Chen, C-C. & McAleer, M.J., 2010. "Modeling the Volatility in Global Fertilizer Prices," Econometric Institute Report EI 2010-42, Erasmus University Rotterdam, Econometric Institute.
- NEP-AGR-2010-08-06 (Agricultural Economics)
- NEP-ALL-2010-08-06 (All new papers)
- NEP-ENE-2010-08-06 (Energy Economics)
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