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

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  • Ping-Yu Chen

    (National Chung Hsing University, Taiwan)

  • Chia-Lin Chang

    (National Chung Hsing University, Taiwan)

  • Chi-Chung Chen

    (National Chung Hsing University, Taiwan)

  • Michael McAleer

    (Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain)

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.

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Bibliographic Info

Paper provided by Tinbergen Institute in its series Tinbergen Institute Discussion Papers with number 13-024/III.

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Date of creation: 25 Jan 2013
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Handle: RePEc:dgr:uvatin:20130024

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Keywords: Fertilizer Price; Oil Price; Volatility;

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