| In this research we estimate the effect of El Nino Southern Oscillation (ENSO) over time on market dynamics for eight major vegetable oil prices. We estimate a system for vegetable oil prices by using a smooth transition vector error correction model (STVECM) to analyze impacts of ENSO events on production, and, more interestingly, their asymmetric nature. The results of estimated Exponential STVECM and Quadratic STAR models, respectively for the system of oil price equations and the ENSO variable regressions, suggest a smooth transition between ENSO regimes, and provide a better overall fit to the data than do linear models. Effects of the ENSO shock are analyzed using generalized impulse-response functions (GIRFs). The non-linear nature of these shocks... |
