Document Type
Working Paper
Publication Date
1-2026
College/Unit
Chambers College of Business and Economics
Document Number
26-02
Department/Program/Center
Economics
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.
Digital Commons Citation
Yao, Feng and Hernandez, Manuel A., "When prices spike: Identifying excessive volatility in fertilizer markets" (2026). Economics Faculty Working Papers Series. 261.
https://researchrepository.wvu.edu/econ_working-papers/261