Template-Type: ReDIF-Paper 1.0 Series: Tinbergen Institute Discussion Papers Creation-Date: 2013-01-25 Number: 13-024/III Author-Name: Ping-Yu Chen Author-Workplace-Name: National Chung Hsing University, Taiwan Author-Name: Chia-Lin Chang Author-Workplace-Name: National Chung Hsing University, Taiwan Author-Name: Chi-Chung Chen Author-Workplace-Name: National Chung Hsing University, Taiwan Author-Name: Michael McAleer Author-Workplace-Name: Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain Title: Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility Abstract: See the publication in the Journal of Risk and Financial Management (2012). Volume 5(1), pages 78-114.

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. Classification-JEL: Q14, C22, C58 Keywords: Fertilizer Price, Oil Price, Volatility File-Url: https://papers.tinbergen.nl/13024.pdf File-Format: application/pdf File-Size: 374514 bytes Handle: RePEc:tin:wpaper:20130024