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Abstract

This study looks at changing relationships among ammonia, natural gas, and corn spot prices. Prices from April 2001 to May 2014 were tested for correlation, causation, and cointegration. Evidence of a regime switch is found during December 2007. Before this date natural gas prices Granger caused changes in fertilizer price, while after this date corn price Granger caused changes in the price of fertilizer. Johansen’s test found evidence of cointegration among the data leading to the use of a vector error correction model to estimate relationships among ammonia, natural gas, and corn prices. Results indicate that a regime shift did occur around December of 2007.

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