Analysis of asymmetric price response of fertilizers to the oil price

In this thesis I focus on the analysis of the asymmetric reaction of fertilizer prices on the price change in oil. In view of the previous literature, it is likely that there exists a so-called rockets and feathers effect between these two commodities. Because the fertilizer market is oftentimes affected by various shocks, I use the Bai-Perron algorithm for estimation of possible breakpoints together with an exogenous approach based on literature. I then split original time series according to the estimated breaks into smaller sections, which I then model using NARDL framework. For different time periods, it became apparent that for the same fertilizer or price index rockets and feathers and balloon and rocks effects are apparent. It then follows that fertilizers react symmetrically and asymmetrically over time.