Climate change impacts on commodity price stability through changing ENSO patterns
使用全球因子局部投影模型，分析ENSO对全球大宗商品价格的非对称影响，并评估气候变化可能加剧价格波动的风险，对投资者和政策制定者有参考价值。
Climate change is a global phenomenon that has a significant impact on commodity prices. This paper analyzes the impact of El Niño–Southern Oscillation (ENSO) on global commodity prices, using a Global Factor Local Projections (GFALP) model. Firstly, we demonstrate that unanticipated ENSO movements contribute to commodity price volatility asymmetrically during El Niño and La Niña periods. Secondly, climate change might disrupt ENSO patterns. We compare the current situation with potential climate change outcomes to evaluate its impact on commodity price stability. We compute an index measuring commodity price exposure to these disruptions. We demonstrate that in most cases, these shifts exacerbate commodity price volatility. Finally, we explore several avenues to explain the observed heterogeneity in the exposure of commodity prices to the evolution of ENSO that could result from climate change, and we highlight the crucial role of international commodity markets in adapting to climate change. • We propose a novel GFALP model to isolate the global transmission of ENSO shocks on commodity markets, accounting for macroeconomic conditions. • Unanticipated ENSO movements asymmetrically impact commodity price volatility, with distinct effects during El Niño and La Niña periods. • Climate change may alter ENSO frequency and intensity, exacerbating commodity price instability through non-linear effects. • We introduce an index quantifying commodity price exposure to ENSO-related climate disruptions, revealing heterogeneous vulnerabilities. • Commodity price volatility that could result from climate change is found to be amplified by financialization, production concentration, and limited global market participation.