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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

Abstract: 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)
Pages: 20
Date: 2013-02
New Economics Papers: this item is included in nep-agr and nep-env
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Persistent link: https://EconPapers.repec.org/RePEc:ags:aare13:152202

DOI: 10.22004/ag.econ.152202

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