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

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dc.contributor.authorChen, P-Y.
dc.contributor.authorChang, C-L.
dc.contributor.authorChen, C-C.
dc.contributor.authorMcAleer, M.
dc.date.accessioned2015-10-19T01:21:53Z
dc.date.available2015-10-19T01:21:53Z
dc.date.issued2013en
dc.descriptionWORKING PAPER No. 07/2013en
dc.description.abstractThe 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.en
dc.identifier.citationChen, P-Y., Chang, C-L., Chen, C-C., McAleer, M. (2013) Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility..en
dc.identifier.urihttp://hdl.handle.net/10092/11247
dc.language.isoen
dc.publisherUniversity of Canterbury. Department of Economics and Financeen
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectPriceen
dc.subjectOil Priceen
dc.subjectVolatility JEL Classifications: Q14en
dc.subjectC22en
dc.subjectC58en
dc.subject.anzsrcField of Research::14 - Economicsen
dc.titleModeling the Effects of Oil Prices on Global Fertilizer Prices and Volatilityen
dc.typeDiscussion / Working Papers
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