How Volatile is ENSO?

The El Niños Southern Oscillations (ENSO) is a periodical phenomenon of climatic interannual variability which could be measured through either the Southern Oscillation Index (SOI) or the Sea Surface Temperature (SST) Index. The main purpose of this paper is to analyze these two indexes in order to capture ENSO volatility. The empirical results show that both the ARMA(1,1)-GARCH(1,1) and ARMA(3,2)-GJR(1,1) models are suitable for modelling ENSO volatility. Moreover, 1998 is a turning point for the volatility of SOI, and the ENSO volatility has became stronger since 1998 which indicates that the ENSO strength has increased.GARCH;Volatility;EGARCH;GJR;ENSO;SOI;SOT

Modeling the Effect of Oil Price on Global Fertilizer Prices

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, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model, are used to investigate the relationship between crude oil price and six global fertilizer prices. Weekly data for 2003-2008 for the seven price series are analyzed. The empirical results from ARDL show that most fertilizer prices are significantly affected by the crude oil price, which explains why global fertilizer prices reached a peak in 2008. We also find that that the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that the peak crude oil price caused greater volatility in the crude oil price and global fertilizer prices. As volatility invokes financial risk, the relationship between oil price and global fertilizer prices and their associated volatility is important for public policy relating to the development of optimal energy use, global agricultural production, and financial integration.Volatility; Global fertilizer price; Crude oil price; Non-renewable fertilizers; Structural breakpoint unit root test

Modeling the Effect of Oil Price on Global Fertilizer Prices

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, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model, are used to investigate the relationship between crude oil price and six global fertilizer prices. Weekly data for 2003-2008 for the seven price series are analyzed. The empirical results from ARDL show that most fertilizer prices are significantly affected by the crude oil price, which explains why global fertilizer prices reached a peak in 2008. We also find that that the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that the peak crude oil price caused greater volatility in the crude oil price and global fertilizer prices. As volatility invokes financial risk, the relationship between oil price and global fertilizer prices and their associated volatility is important for public policy relating to the development of optimal energy use, global agricultural production, and financial integration.volatility;crude oil price;global fertilizer price;non-renewable fertilizers;structural breakpoint unit root test

Modeling the Volatility in Global Fertilizer Prices

The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model are estimated for six global fertilizer prices and the crude oil price. Weekly data for 2003-2008 for the seven price series are analysed. The empirical results suggest that the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that the peak crude oil price caused greater volatility in the crude oil price and global fertilizer prices

Modeling the Volatility in Global Fertilizer Prices

The main purpose of this paper is to estimate the volatility in global fertilizer prices. The endogenous structural breakpoint unit root test and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model are estimated for six global fertilizer prices and the crude oil price. Weekly data for 2003-2008 for the seven price series are analysed. The empirical results suggest that the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that the peak crude oil price caused greater volatility in the crude oil price and global fertilizer prices.Volatility, Global fertilizer price, Crude oil price, Non-renewable fertilizers, Structural breakpoint unit root test

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

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

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

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

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

WORKING PAPER No. 07/2013The 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

Modeling the Effect of Oil Price on Global Fertilizer Prices

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, the autoregressive distributed lag (ARDL) model, and alternative volatility models, including the generalized autoregressive conditional heteroskedasticity (GARCH) model, Exponential GARCH (EGARCH) model, and GJR model, are used to investigate the relationship between crude oil price and six global fertilizer prices. Weekly data for 2003-2008 for the seven price series are analyzed. The empirical results from ARDL show that most fertilizer prices are significantly affected by the crude oil price, which explains why global fertilizer prices reached a peak in 2008. We also find that that the volatility of global fertilizer prices and crude oil price from March to December 2008 are higher than in other periods, and that the peak crude oil price caused greater volatility in the crude oil price and global fertilizer prices. As volatility invokes financial risk, the relationship between oil price and global fertilizer prices and their associated volatility is important for public policy relating to the development of optimal energy use, global agricultural production, and financial integration