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 mdpi.com as a courtesy and upon agreement with Prof. Dr. Raymond A. K. Cox and Prof. Dr. Alan Wong.
J. Risk Financial Manag. 2012, 5(1), 78-114; https://doi.org/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
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. View Full-TextKeywords:
fertilizer price; oil price; volatility
▼
Figures
Figure 1
This is an open access article distributed under the Creative Commons Attribution License (CC BY 3.0).
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.
Related Articles
Article Metrics
Comments
[Return to top]
J. Risk Financial Manag.
EISSN 1911-8074
Published by MDPI AG, Basel, Switzerland
RSS
E-Mail Table of Contents Alert