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

Arbeitspapier

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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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Tinbergen Institute Discussion Paper ; No. 13-024/III

Classification and Topics

• Classification: Wirtschaft ; Agricultural Finance ; Single Equation Models; Single Variables: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes ; Financial Econometrics
• Subject: Fertilizer Price ; Oil Price ; Volatility ; Ölpreis ; Düngemittel ; Preis ; Volatilität ; Kointegration ; Welt

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Chen, Ping-Yu ; Chang, Chia-Lin ; Chen, Chi-Chung ; McAleer, Michael
• Event: Veröffentlichung
• (who): Tinbergen Institute
• (where): Amsterdam and Rotterdam
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/87511