Cointegration and causal linkages in fertilizer markets across different regimes

Cointegration and causal linkages among five different fertilizer markets are investigated during low and high market regimes. The database includes prices of rock phosphate (RP), triple super phosphate (TSP), diammonium phosphate (DAP), urea, and potassium chloride (PC). It is found that fertilizer markets are closely linked to each other during low and high regimes; and, particularly during high regime (after 2007 international financial crisis). In addition, there is no evidence of bidirectional linear relationship between markets during low and high regime time periods. Furthermore, all significant linkages are only unidirectional. Moreover, some causality effects have emerged during high regime. Finally, the effect of an impulse during high regime time period persists longer and is stronger than the effect of an impulse during low regime time period (before 2007 international financial crisis).