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Modeling the Volatility in Global Fertilizer Prices

Author

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  • Ping-Yu Chen

    (Department of Applied Economics, National Chung Hsing University)

  • Chia-Lin Chang

    (Department of Applied Economics, National Chung Hsing University)

  • Chi-Chung Chen

    (Department of Applied Economics, National Chung Hsing University)

  • Michael McAleer

    (Erasmus University Rotterdam, Tinbergen Institute, The Netherlands, and Institute of Economic Research, Kyoto University)

Abstract

The 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.

Suggested Citation

  • 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.
    • Handle: RePEc:kyo:wpaper:705
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