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

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Chen, Ping-Yu and Chang, Chia-Lin and Chen, Chi-Chung and 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 [ Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE); nº 06, 2013, ] (Unpublished)

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


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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.


Item Type:Working Paper or Technical Report
Additional Information:

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.

Uncontrolled Keywords:Fertilizer Price, Oil Price, Volatility.
Subjects:Social sciences > Economics > Econometrics
Series Name:Documentos de Trabajo del Instituto Complutense de Análisis Económico (ICAE)
Volume:2013
Number:06
ID Code:18070
Deposited On:31 Jan 2013 12:15
Last Modified:09 Jan 2014 11:45

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