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

Are the S&P 500 Index and Crude Oil, Natural Gas and Ethanol Futures Related for Intra-Day Data?

The energy sector is one of the most important in the world, so that time series fluctuations in leading energy sources have been analysed widely. As the leading energy commodities are traded on international stock exchanges, the analysis of the fluctuations in stock and financial derivatives prices and returns have also been investigated extensively in recent years. Much of the empirical analysis has concentrated on using daily, weekly or monthly data, with little research based on intra-day data. The paper analyses the relationships among the S&P 500 Index and futures prices, returns and volatility of three leading energy commodities, namely crude oil, natural gas and ethanol, using intra- day data. The detailed analysis of intra-day temporal aggregation in examining returns relationships and volatility spillovers across the equity and energy futures markets, and the effects of overnight returns, volume, realized volatility, asymmetry, and spillovers across the four financial markets, leads to interesting and useful results for decision making and hedging strategies. The empirical results relating to alternative models of mean and variance feedback and asymmetry for intra-daily returns, asymmetry and volatility spillovers, and dynamic conditional correlations and covariances, show that the relationships between the stock market and alternative energy financial derivatives, specifically futures prices and returns, can and do vary according to the trading range, whether daily or overnight effects are considered, and the temporal aggregation and time frequencies that are used

Cost benefit evaluation of maintenance options for aging equipment using monetised risk values: A practical application

With constant pressure to reduce maintenance costs as well as short-term budget constraints in a changing market environment, asset managers are compelled to continue operating aging assets while deferring maintenance and investment. The scope of the paper is to get an overview of the methods used to evaluate risks and opportunities for deferred maintenance interventions on aging equipment, and underline the importance to include monetised risk considerations and timeline considerations, to evaluate different scenarios connected with the possible options. Monetised risk values offer the opportunity to support risk-based decision-making using the data collected from the field. The paper presents examples of two different methods and their practical applicability in two case studies in the energy sector for a company managing power stations. The use of the existing and the new proposed solutions are discussed on the basis of their applicability to the concrete examples