The volatility connectedness among fertilisers and agricultural crop prices: Evidence from selected main agricultural products
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Tarih
2022
Yazarlar
Dergi Başlığı
Dergi ISSN
Cilt Başlığı
Yayıncı
Czech Academy Agricultural Sciences
Erişim Hakkı
info:eu-repo/semantics/openAccess
Özet
The price of fertiliser, which is one of the most important inputs of agricultural production, has increased significantly in recent years. In this study, we empirically analysed the effect of volatility in fertiliser prices on selected agricultural products by using the Diebold-Yilmaz connectedness approach, which is based on time-varying parameter (TVP) vector auto-regression (VAR). The findings showed that the spread of volatility and the interconnectedness be-tween these variables increased in times of crisis and that the risk pass-through was due to fertiliser prices. However, empirical results showed that the price volatility of phosphate rock and urea was highly correlated to the volatility of other products. Furthermore, we found that sugar, soybean and cotton were the agricultural products most vulner-able to the effects of external shocks.
Açıklama
Anahtar Kelimeler
Diebold-Yilmaz approach, dynamic connectedness, time-varying parameter vector auto-regression, vola-tility spillover
Kaynak
Agricultural Economics-Zemedelska Ekonomika
WoS Q Değeri
Q2
Scopus Q Değeri
Q1
Cilt
68
Sayı
9
