When prices spike: Identifying excessive volatility in fertilizer markets
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...
| Main Authors: | , |
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| Format: | Journal Article |
| Language: | Inglés |
| Published: |
Elsevier
2026
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| Subjects: | |
| Online Access: | https://hdl.handle.net/10568/178557 |
| _version_ | 1855523298369077248 |
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| author | Yao, Feng Hernandez, Manuel A. |
| author_browse | Hernandez, Manuel A. Yao, Feng |
| author_facet | Yao, Feng Hernandez, Manuel A. |
| author_sort | Yao, Feng |
| collection | Repository of Agricultural Research Outputs (CGSpace) |
| description | 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. |
| format | Journal Article |
| id | CGSpace178557 |
| institution | CGIAR Consortium |
| language | Inglés |
| publishDate | 2026 |
| publishDateRange | 2026 |
| publishDateSort | 2026 |
| publisher | Elsevier |
| publisherStr | Elsevier |
| record_format | dspace |
| spelling | CGSpace1785572025-12-11T21:55:59Z When prices spike: Identifying excessive volatility in fertilizer markets Yao, Feng Hernandez, Manuel A. fertilizers prices price volatility markets dynamic programming modelling monitoring 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. 2026-02 2025-12-04T19:52:52Z 2025-12-04T19:52:52Z Journal Article https://hdl.handle.net/10568/178557 en https://hdl.handle.net/10568/174361 https://hdl.handle.net/10568/143600 https://doi.org/10.1080/07474938.2014.956612 https://doi.org/10.1017/S0266466616000517 Open Access Elsevier Yao, Feng; and Hernandez, Manuel A. When prices spike: Identifying excessive volatility in fertilizer markets. Economics Letters 259(February 2026): 112758. https://doi.org/10.1016/j.econlet.2025.112758 |
| spellingShingle | fertilizers prices price volatility markets dynamic programming modelling monitoring Yao, Feng Hernandez, Manuel A. When prices spike: Identifying excessive volatility in fertilizer markets |
| title | When prices spike: Identifying excessive volatility in fertilizer markets |
| title_full | When prices spike: Identifying excessive volatility in fertilizer markets |
| title_fullStr | When prices spike: Identifying excessive volatility in fertilizer markets |
| title_full_unstemmed | When prices spike: Identifying excessive volatility in fertilizer markets |
| title_short | When prices spike: Identifying excessive volatility in fertilizer markets |
| title_sort | when prices spike identifying excessive volatility in fertilizer markets |
| topic | fertilizers prices price volatility markets dynamic programming modelling monitoring |
| url | https://hdl.handle.net/10568/178557 |
| work_keys_str_mv | AT yaofeng whenpricesspikeidentifyingexcessivevolatilityinfertilizermarkets AT hernandezmanuela whenpricesspikeidentifyingexcessivevolatilityinfertilizermarkets |