Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility (2013)

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Type of Content
Discussion / Working PapersPublisher
University of Canterbury. Department of Economics and FinanceCollections
- Business: Working Papers [193]
- Working Papers in Economics [142]
Abstract
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.
Citation
Chen, P-Y., Chang, C-L., Chen, C-C., McAleer, M. (2013) Modeling the Effects of Oil Prices on Global Fertilizer Prices and Volatility..This citation is automatically generated and may be unreliable. Use as a guide only.
Keywords
Price; Oil Price; Volatility JEL Classifications: Q14; C22; C58ANZSRC Fields of Research
14 - EconomicsRelated items
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