英文文献：The ENSO Effect on World Wheat Market Dynamics: Smooth Transitions in Asymmetric Price Transmission
英文文献作者：Ubilava, David
英文文献摘要：
Climate anomalies, such as El Nino Southern Oscillation (ENSO), affect agricultural production in different parts of the world, and can impact price behavior of the internationally traded commodities. This study examines the effect of ENSO on wheat price dynamics of five major exporting regions -- USA, Canada, Australia, EU, and Argentina. While the prices are linked due to the law of one price and the arbitrage conditions, nonlinear price adjustments are expected, due to the transaction costs, the market power, derived asymmetries from supply shocks. This study addresses asymmetries in wheat price transmission in response to ENSO-related supply shocks, using univariate and multivariate smooth transition modelling frameworks. Results of this study confirm regime-dependent nonlinearities in ENSO cycles as well as the system of considered wheat prices, where regimes are conditioned on the state of nature of the ENSO anomaly. In general, positive ENSO shocks, i.e. El Nino-s, result in wheat price reduction, while negative ENSO shock, i.e. La Nina-s, results in increased wheat prices. Moreover, the asymmetric nature of the responses to ENSO shocks implies that the rates of price increases are, on average, larger as compared to the rates of price decreases.