The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model are estimated for six global fertilizer prices and the crude oil price. Weekly data for 2003-2008 for the seven price series are analysed. The empirical results suggest that the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that the peak crude oil price caused greater volatility in the crude oil price and global fertilizer prices.

Additional Metadata
Keywords crude oil price, global fertilizer price, non-renewable fertilizers, structural breakpoint unit root test, volatility
Publisher Erasmus School of Economics
Persistent URL hdl.handle.net/1765/20377
Series Econometric Institute Research Papers
Journal Report / Econometric Institute, Erasmus University Rotterdam
Citation
Chen, P-Y, Chang, C-L, Chen, C-C, & McAleer, M.J. (2010). Modeling the Volatility in Global Fertilizer Prices (No. EI 2010-42). Report / Econometric Institute, Erasmus University Rotterdam (pp. 1–30). Erasmus School of Economics. Retrieved from http://hdl.handle.net/1765/20377