Template-type: ReDIF-Paper 1.0
Author-Name: Ping-Yu Chen
Author-Workplace-Name: Department of Applied Economics, National Chung Hsing University, Taiwan
Author-Name: Chia-Lin Chang
Author-Email: changchialin@nchu.edu.tw
Author-Person: pch286 
Author-Workplace-Name: Department of Applied Economics, Department of Finance, National Chung Hsing University, Taiwan
Author-Name: Chi-Chung Chen
Author-Workplace-Name: Department of Applied Economics, National Chung Hsing University, Taiwan
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometric Institute, Erasmus School of Economics, Erasmus University Rotterdam and Tinbergen Institute,
	The Netherlands, Department of Quantitative Economics, Complutense University of Madrid, and Institute of
	Economic Research, Kyoto University. 
Title: Modelling the Effects of Oil Prices on Global Fertilizer Prices and Volatility
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.
Classification-JEL: Q14, C22, C58.
Keywords: Fertilizer Price, Oil Price, Volatility.
Length: 36 pages 
Creation-Date: 2013
Revision-Date: 2013-01 
Number: 2013-06 
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1306.txt
File-URL: https://eprints.ucm.es/id/eprint/18070/1/1306.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1306