El Niño Southern Oscillation and Primary Agricultural Commodity Prices: Causal Inferences from Smooth Transition Models
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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.