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.

Additional Metadata
Keywords fertilizer price, oil price, volatility
JEL Time-Series Models; Dynamic Quantile Regressions (jel C22), Agricultural Finance (jel Q14)
Publisher Tinbergen Institute
Persistent URL hdl.handle.net/1765/38777
Series Tinbergen Institute Discussion Paper Series
Journal Discussion paper / Tinbergen Institute
Citation
Chen, P.Y., Chen, P.Y, Chang, C-L, & McAleer, M.J. (2013). Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility (No. TI 13-024/III ). Discussion paper / Tinbergen Institute (pp. 1–38). Tinbergen Institute. Retrieved from http://hdl.handle.net/1765/38777