Work

When prices spike: Identifying excessive volatility in fertilizer markets

Year: 2025

Type: article

Abstract: Sharp and volatile fertilizer price movements can hinder adoption and reduce agricultural productivity, especially among vulnerable smallholders. Using a nonparametric location-scale approach to model price returns, we quantify the conditional value-at-risk (CVaR)—the high return threshold exceeded with low probability—to identify excessive price spikes in potash, urea, and di-ammonium phosphate (DAP) markets. We use the bias-corrected estimator from Martins-Filho et al. (2018) and propose a simpler estimator based on Hill (1975). Backtesting results indicate superior performance of the Hill-based estimator, supporting its value as a convenient method for detecting unusual fertilizer price surges amid recurring global volatility.

Source: Economics Letters

DOI: 10.1016/j.econlet.2025.112758

Authors: Feng Yao, Manuel A. Hernandez

Institutions: West Virginia University, International Food Policy Research Institute

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Zero hunger

Open Access status: hybrid

Estimated APC paid: $3,030