El Niño Southern Oscillation and Primary Agricultural Commodity Prices: Causal Inferences from Smooth Transition Models
David Ubilava ()
No 152202, 2013 Conference (57th), February 5-8, 2013, Sydney, Australia from Australian Agricultural and Resource Economics Society
Global climate anomalies affect world economies and primary commodity prices. One of the more pronounced climate anomalies is El Niño Southern Oscillation (ENSO). In this study I examine the relationship between ENSO and world commodity prices using monthly time series of the sea-surface temperature anomalies in the Nino 3.4 region, and real prices of thirty primary agricultural commodities. I apply smooth transition auoregressive (STAR) modelling techniques to assess causal inferences that could potentially be camouflaged in the linear setting. I illustrate dynamics of ENSO and commodity price behavior using generalized impulse-response functions.
Keywords: Environmental Economics and Policy; Research and Development/Tech Change/Emerging Technologies; Research Methods/ Statistical Methods (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aare13:152202
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