文章基本信息

标题：Impact of Energy Price Variability on Global Fertilizer Price: Application of Alternative Volatility Models
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作者：Prabuddha Sanyal ; Leonard Malczynski ; Paul Kaplan 等
期刊名称：Sustainable Agriculture Research
印刷版ISSN：1927-050X
电子版ISSN：1927-0518
出版年度：2015
卷号：4
期号：4
页码：132
DOI：10.5539/sar.v4n4p132
出版社：Canadian Center of Science and Education
摘要：This study evaluates the effects of volatility in crude oil and natural gas prices on fertilizer price variations. Specifically, the study looks at the mean and volatility effects of oil and natural gas prices on both mean and volatility changes in fertilizer prices. Both symmetric models [GARCH (1, 1)] and asymmetric models [GJR (1, 1)] were used to model volatility in fertilizer prices and to evaluate the effects of the volatility over different time periods using Bai-Perron structural break tests. The results show that changes in oil and natural gas prices increased fertilizer prices after the crisis period, during June 2007 to June 2008. Both the ARCH and GARCH had significant effects on fertilizer prices, suggesting that the volatility effects of oil and natural gas prices on fertilizer prices were also significant. Furthermore, the maximum impact of higher energy prices depends on triple superphosphate and diammonium phosphate (DAP) leading to higher production costs and consequent increase in total farm expenditures for crop producers. These higher production costs invariably have a negative effect on farm profitability, thus reducing the investment levels in the farm sector.