University of Canterbury Home
    • Admin
    UC Research Repository
    UC Library
    JavaScript is disabled for your browser. Some features of this site may not work without it.
    View Item 
    1. UC Home
    2. Library
    3. UC Research Repository
    4. UC Business School | Te Kura Umanga
    5. Business: Working Papers
    6. View Item
    1. UC Home
    2.  > 
    3. Library
    4.  > 
    5. UC Research Repository
    6.  > 
    7. UC Business School | Te Kura Umanga
    8.  > 
    9. Business: Working Papers
    10.  > 
    11. View Item

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

    Thumbnail
    View/Open
    12646726_1307.pdf (902.8Kb)
    Type of Content
    Discussion / Working Papers
    UC Permalink
    http://hdl.handle.net/10092/11247
    
    Publisher
    University of Canterbury. Department of Economics and Finance
    Collections
    • Business: Working Papers [193]
    • Working Papers in Economics [142]
    Authors
    Chen, P-Y.
    Chang, C-L.
    Chen, C-C.
    McAleer, M.
    show all
    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; C58
    ANZSRC Fields of Research
    14 - Economics
    Rights
    https://hdl.handle.net/10092/17651

    Related items

    Showing items related by title, author, creator and subject.

    • How Volatile is ENSO for Global Greenhouse Gas Emissions And the Global Economy? 

      Chu, L-F.; McAleer, M.; Chen, C-C. (University of Canterbury. Department of Economics and Finance, 2012)
      This paper analyzes two indexes in order to capture the volatility inherent in El Ninos Southern Oscillations (ENSO), develops the relationship between the strength of ENSO and greenhouse gas emissions, which increase as ...
    • Modelling Long Memory Volatility in Agricultural Commodity Futures Returns 

      Chang, C-L.; McAleer, M.; Tansuchat, R. (University of Canterbury. Department of Economics and Finance, 2012)
      This paper estimates a long memory volatility model for 16 agricultural commodity futures returns from different futures markets, namely corn, oats, soybeans, soybean meal, soybean oil, wheat, live cattle, cattle feeder, ...
    • Risk Modeling and Management: An Overview 

      Chang, C-L.; Allen, D.E.; McAleer, M.; Amaral, T.P. (University of Canterbury. Department of Economics and Finance, 2013)
      The papers in this special issue of Mathematics and Computers in Simulation are substantially revised versions of the papers that were presented at the 2011 Madrid International Conference on “Risk Modeling and Management” ...
    Advanced Search

    Browse

    All of the RepositoryCommunities & CollectionsBy Issue DateAuthorsTitlesSubjectsThesis DisciplineThis CollectionBy Issue DateAuthorsTitlesSubjectsThesis Discipline

    Statistics

    View Usage Statistics
    • SUBMISSIONS
    • Research Outputs
    • UC Theses
    • CONTACTS
    • Send Feedback
    • +64 3 369 3853
    • ucresearchrepository@canterbury.ac.nz
    • ABOUT
    • UC Research Repository Guide
    • Copyright and Disclaimer
    • SUBMISSIONS
    • Research Outputs
    • UC Theses
    • CONTACTS
    • Send Feedback
    • +64 3 369 3853
    • ucresearchrepository@canterbury.ac.nz
    • ABOUT
    • UC Research Repository Guide
    • Copyright and Disclaimer