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When prices spike: Identifying excessive volatility in fertilizer markets

Author

Listed:
  • Feng Yao

    (West Virginia University)

  • Manuel A. Hernandez

    (IFPRI)

Abstract

Sharp and volatile fertilizer price movements can hinder adoption and reduce agricultural productivity, especially among vulnerable smallholders. Using a nonparametric location-scale approach to model price returns, we quantify the conditional value-at-risk (CVaR) - the high return threshold exceeded with low probability - to identify excessive price spikes in potash, urea, and di-ammonium phosphate (DAP) markets. We use the bias-corrected estimator from Martins-Filho et al. (2018) and propose a simpler estimator based on Hill (1975). Backtesting results indicate superior performance of the Hill-based estimator, supporting its value as a convenient method for detecting unusual fertilizer price surges amid recurring global volatility.

Suggested Citation

  • Feng Yao & Manuel A. Hernandez, 2026. "When prices spike: Identifying excessive volatility in fertilizer markets," Working Papers 26-02, Department of Economics, West Virginia University.
    • Handle: RePEc:wvu:wpaper:26-02
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    File URL: https://researchrepository.wvu.edu/cgi/viewcontent.cgi?article=1258&context=econ_working-papers
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    JEL classification:

    • C - Mathematical and Quantitative Methods

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