Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/87511
Authors: 
Chen, Ping-Yu
Chang, Chia-Lin
Chen, Chi-Chung
McAleer, Michael
Year of Publication: 
2013
Series/Report no.: 
Tinbergen Institute Discussion Paper 13-024/III
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.
Subjects: 
Fertilizer Price
Oil Price
Volatility
JEL: 
Q14
C22
C58
Persistent Identifier of the first edition: 
Document Type: 
Working Paper

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