Izvorni znanstveni članak
https://doi.org/10.1080/1331677X.2023.2186913
Global agricultural commodity market responses to extreme weather
Ting-Ting Sun
Tong Wu
Hsu-Ling Chang
Cristina Tanasescu
Sažetak
The study investigates the time-varying correlation between El Ni~no
phenomenon and agricultural commodity markets by employing
the bootstrap full- and sub-sample rolling-window Granger causality
tests. We find that the El Ni~no index (ENI) which measures the
intensity of El Ni~no phenomenon, has both positive and negative
impacts on agricultural commodity prices (ACP). The positive
impact indicates that El Ni~no phenomenon may reduce the output
of agriculture commodities, resulting in supply shortages and price
increases. However, the negative impact suggests that affected by
external uncertainties, ENI does not always cause ACP to change in
the same direction. Conversely, we find ACP has negative impact on
ENI, showing that agricultural commodity markets can reflect the
extreme climate conditions globally in advance. The analyses can
assist investors to adjust investment decisions and optimize
asset allocation. Additionally, countries can improve the abnormal
climate monitoring system to mitigate losses, and consider the
impact of external uncertainties on agricultural commodity markets
and ensure food security.
Ključne riječi
Agricultural commodity prices; El Ni~no phenomenon; rollingwindow; time-varying
Hrčak ID:
314060
URI
Datum izdavanja:
15.5.2023.
Posjeta: 104 *