When prices spike: Identifying excessive volatility in fertilizer markets
研究提出一种非参数方法识别化肥价格过度飙升，发现基于Hill估计量的方法在检测异常价格波动时表现更优，对关注农业投入品价格风险的研究者和政策制定者有参考价值。
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.