Next Article in Journal
Technical Efficiency and Port Competition: Revisiting the Bohai Economic Rim, China
Previous Article in Journal
The Behaviour of Small Investors in the Hong Kong Derivatives Markets: A Factor Analysis
Article Menu

Article Versions

Export Article

Open AccessArticle
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

1
Department of Applied Economics, National Chung Hsing University, Taiwan
2
Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan
3
Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute, The Netherlands
*
Author to whom correspondence should be addressed.
Published: 31 December 2012
Download PDF [275 KB, uploaded 29 August 2013]

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.
Keywords: fertilizer price; oil price; volatility fertilizer price; oil price; volatility
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

Scifeed alert for new publications

Never miss any articles matching your research from any publisher
  • Get alerts for new papers matching your research
  • Find out the new papers from selected authors
  • Updated daily for 49'000+ journals and 6000+ publishers
  • Define your Scifeed now

SciFeed Share & Cite This Article

MDPI and ACS Style

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.

Show more citation formats Show less citations formats

Related Articles

Article Metrics

Article Access Statistics

1

Comments

[Return to top]
J. Risk Financial Manag. EISSN 1911-8074 Published by MDPI AG, Basel, Switzerland RSS E-Mail Table of Contents Alert
Back to Top