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Journal of Risk and Financial Management is published by MDPI from Volume 6 Issue 1 (2013). Articles in this Issue were published by another publisher in Open Access under a CC-BY (or CC-BY-NC-ND) licence. Articles are hosted by MDPI on as a courtesy and upon agreement with Prof. Dr. Raymond A. K. Cox and Prof. Dr. Alan Wong.
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J. Risk Financial Manag. 2012, 5(1), 78-114;

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

Department of Applied Economics, National Chung Hsing University, Taiwan
Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan
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
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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. View Full-Text
Keywords: fertilizer price; oil price; volatility fertilizer price; oil price; volatility

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This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).

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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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