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 f...

This paper uses cointegration to evaluate long-run foreign exchange exposure. Since this technique requires exchange rates to be nonstationary, such that purchasing power parity does not hold in the long run, the analysis focuses on recent empirical findings suggesting that real exchange rates are nonstationary particularly because of oil price changes. Hence, the paper also estimates long-run ...

In this study, an empirical mode decomposition (EMD) based neural network ensemble learning model is proposed for world crude oil spot price modeling and forecasting. For this purpose, the original crude oil spot price series were first decomposed into a finite and often small number of intrinsic mode functions (IMFs). Then the three-layer feed-forward neural network (FNN) model was used to mod...

We consider the linkage between stock prices and exchange rates in four Middle East emerging markets. The existing evidence on stock prices and exchange rates typically relies on introduction of a global market index. On the contrary, we find that for the countries of our sample oil prices emerge as the dominant factor in the above relationship. When we focus on the extended sample we do not de...

In the global economy, crude oil is among the most important strategic goods that affects the performance of local and international markets. Prediction of the oil price has always been an important challenging topic in the global economy and producers and consumers have constantly been trying to improve their roll in the oil price changes and for many years OPEC has been one of the key players...

sharp increase in oil price and the volatility in recent decades have attracted most researchers towards the field of energy. it seems not only the direct oil price, but also the uncertainty caused by the oil price volatility affect the raw oil supply. in this research the effect of oil price volatility on oil supply has been estimated using monthly time series data from january 1980 to septemb...

This paper estimates the effects of oil price changes on U.S. inflation in a Phillips curve framework, allowing for some of the asymmetries, nonlinearities, and structural breaks that have been found in the literature on the real effects of oil price shocks. It finds that since around 1980, oil price changes seem to affect inflation only through their direct share in a price index, with little ...

This paper reexamines the oil price-macroeconomy relationship with rolling Granger causality and structural stability tests. It finds that the relationship broke down amidst the falling oil prices and market collapse of the 1980s, suggesting misspecification of the oil price rather than a weakened relationship. Some proposed respecifications of the oil price yield considerable improvements, alt...