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

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Chen, Ping-Yu y Chang, Chia-Lin y Chen, Chi-Chung y McAleer, Michael (2013) Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility. [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 06, 2013, ] (No publicado)

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URL Oficial: http://eprints.ucm.es/18070/


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https://www.ucm.es/icaeInstitución


Resumen

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.


Tipo de documento:Documento de trabajo o Informe técnico
Información Adicional:

JEL: Q14, C22, C58.

The authors wish to acknowledge the financial support of the National Science Council, Taiwan. The fourth author is also grateful for the financial support of the Australian Research Council and the Japan Society for the Promotion of Science.

Palabras clave:Fertilizer Price, Oil Price, Volatility.
Materias:Ciencias Sociales > Economía > Econometría
Título de serie o colección:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volumen:2013
Número:06
Código ID:18070
Depositado:31 Ene 2013 12:15
Última Modificación:09 Ene 2014 11:45

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