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

Type of content
Discussion / Working Papers
Publisher's DOI/URI
Thesis discipline
Degree name
Publisher
University of Canterbury. Department of Economics and Finance
Journal Title
Journal ISSN
Volume Title
Language
Date
2013
Authors
Chen, P-Y.
Chang, C-L.
Chen, C-C.
McAleer, M.
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.

Description
WORKING PAPER No. 07/2013
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..
Keywords
Price, Oil Price, Volatility JEL Classifications: Q14, C22, C58
Ngā upoko tukutuku/Māori subject headings
ANZSRC fields of research
Field of Research::14 - Economics
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