Testing causality among five fertilizer prices

ABSTRACT

This article identifies the causal relationships among the prices of five fertilizers using both asymptotic Wald test and resampling (bootstrap) techniques. Monthly data for urea, muriate of potash, rock phosphate, diammonium phosphate and triple super phosphate between 2008 (March) and 2016 (March) are used for the analysis. Results show that the urea price Granger causes all other fertilizer prices. The results of the study are significant in understanding the price dynamics and identify the reference fertilizer price that is useful for the fertilizer industry, farmers and government.

KEYWORDS:

• Fertilizers
• causality
• Wald test
• VAR
• bootstrap

Disclosure statement

No potential conflict of interest was reported by the author.

Notes

¹ The highest order of the two time series is taken as the order of integration. For example, if one time series has zero order of integration and the other with order of integration one, then the equals one.

² Results of the Phillips–Perron test, the KPSS test and the cointegration tests were not shown here but are available upon request from the author.