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

Journal of Risk and Financial Management

Ping-Yu Chen¹  Chia-Lin Chang¹  Chi-Chung Chen¹ 

[1] ¹Department of Applied Economics, National Chung Hsing University, Taiwan ²Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan ³Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute, The Netherlands

关键词: fertilizer price;    oil price;    volatility;   

DOI  :  10.3390/jrfm5010078

来源: mdpi

【 摘 要 】

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.

【 授权许可】

CC BY   
This is an open access article distributed under the Creative Commons Attribution License (CC BY) which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.