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

  • Ping-Yu Chen

    (Department of Applied Economics National Chung Hsing University, Taiwan)

  • Chia-Lin Chang

    (Department of Applied Economics Department of Finance National Chung Hsing University, Taiwan)

  • Chi-Chung Chen

    (Department of Applied Economics National Chung Hsing University, Taiwan)

  • Michael McAleer

    (Econometric Institute Erasmus School of Economics Erasmus University Rotterdam and Tinbergen Institute, The Netherlands and Institute of Economic Research Kyoto University, Japan and Department of Quantitative Economics Complutense University of Madrid, Spain)

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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Paper provided by Kyoto University, Institute of Economic Research in its series KIER Working Papers with number 844.

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Length: 36pages
Date of creation: Jan 2013
Date of revision:
Handle: RePEc:kyo:wpaper:844
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