# 13-024/III (2013-01-25)

Ping-Yu Chen, National Chung Hsing University, Taiwan; Chia-Lin Chang, National Chung Hsing University, Taiwan; Chi-Chung Chen, National Chung Hsing University, Taiwan; Michael McAleer, Erasmus University Rotterdam, Kyoto University, Japan, and Complutense University of Madrid, Spain
Fertilizer Price, Oil Price, Volatility
JEL codes:
Q14, C22, C58

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.