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J. Risk Financial Manag. 2012, 5(1), 78-114; doi:10.3390/jrfm5010078

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

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Published: 31 December 2012
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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.
Keywords: fertilizer price; oil price; volatility fertilizer price; oil price; volatility
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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Chen, P.-Y.; Chang, C.-L.; Chen, C.-C.; McAleer, M. Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. J. Risk Financial Manag. 2012, 5, 78-114.

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