Assessing the Asymmetric Effect of Global Climate Anomalies on Food Prices: Evidence from Local Prices
用时变平滑转换自回归模型研究厄尔尼诺南方涛动对撒哈拉以南非洲食品价格的非对称影响，发现约半数价格受其影响，且冲击效应具有地理和产品差异。
Abstract This paper uses time-varying smooth transition autoregressive model to investigate the asymmetric nature of El Niño Southern Oscillation (ENSO) —an exogenous climatic factor—with respect to the nonlinear dynamics of food prices in sub-Saharan Africa. Curating food price series from more than 1100 markets from 36 SSA countries, the study finds that ENSO (linearly or nonlinearly) affects roughly half of food prices considered, with most nonlinear models exhibiting strong asymmetric properties with shock-inflicted persistence. Moreover, in terms of the location of the burden of ENSO impact, I find a geographical and food product divide. Specifically, ENSO appears to be more efficacious on maize prices in Southern, Eastern, and some parts of Central Africa. Conversely, local rice, cassava, millet, and animal products are least affected. The policy implication of this dichotomy is that response to ENSO news should be subregion-specific rather than region-specific, depending on how the subregions absorb the shock.