The impact of El Nio-Southern Oscillation on U.S. food and agricultural stock returns

The paper examines the response of twelve U.S. agricultural stock returns to El Niño-Southern Oscillation (ENSO) shocks using a recursive VAR model. Baseline results indicate that for seven of the stock returns, an ENSO shock has positive and significant effects. The effects, however, are shortlived...

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Bibliographic Details
Published in:Water resources and economics 2020-10, Vol.32, p.100157, Article 100157
Main Authors: Atems, Bebonchu, Maresca, Michael, Ma, Baomei, McGraw, Emily
Format: Article
Language:English
Subjects:
Agriculture
El Niño-Southern Oscillation
Stock returns
Vector autoregression
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Summary:The paper examines the response of twelve U.S. agricultural stock returns to El Niño-Southern Oscillation (ENSO) shocks using a recursive VAR model. Baseline results indicate that for seven of the stock returns, an ENSO shock has positive and significant effects. The effects, however, are shortlived, generally becoming statistically indistinguishable from zero three to six months after the shock. Variance decomposition analyses show that ENSO shocks have little explanatory power for fluctuations in U.S. agricultural stock returns. We also provide evidence that historically, movements in the stock returns of U.S. food and agricultural companies have been driven by other shocks, rather than ENSO shocks.
ISSN:2212-4284
2212-4284
DOI:10.1016/j.wre.2020.100157