Template-Type: ReDIF-Paper 1.0
Author-Name: Chang, C-L.
Author-Name-Last: Chang
Author-Name-First: Chia-Lin
Author-Person: pch286
Author-Name: Chen, C-C.
Author-Name-Last: Chen
Author-Name-First: Chi-Chung
Author-Name: McAleer, M.J.
Author-Name-Last: McAleer
Author-Name-First: Michael
Author-Person: pmc90
Author-Name: Chen, P-Y.
Author-Name-Last: Chen
Author-Name-First: Ping-Yu
Title: Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
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.
Creation-Date: 2013-01-01
File-URL: https://repub.eur.nl/pub/38697/EI2013-04.pdf
File-Format: application/pdf
Series: RePEc:ems:eureir
Number: EI 2013-04
Handle: RePEc:ems:eureir:38697