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

被引：10
|
作者：
Chen, Ping-Yu [1 ]
Chang, Chia-Lin [2 ]
Chen, Chi-Chung [1 ]
McAleer, Michael [3 ]
机构：
[1] Natl Chung Hsing Univ, Dept Appl Econ, Taichung, Taiwan
[2] Natl Chung Hsing Univ, Dept Appl Econ, Dept Finance, Taichung, Taiwan
[3] Erasmus Univ, Rotterdam & Tinbergen Inst, Erasmus Sch Econ, Inst Econometr, Rotterdam, Netherlands
来源：
JOURNAL OF RISK AND FINANCIAL MANAGEMENT | 2012年 / 5卷 / 01期
基金：
日本学术振兴会; 澳大利亚研究理事会;
关键词：
Fertilizer Price; Oil Price; Volatility;
D O I：
10.3390/jrfm5010078
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
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.
引用
收藏
页码：78 / 114
页数：37
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