El Nino Southern Oscillation and the fishmeal-soya bean meal price ratio: regime-dependent dynamics revisited

The El Nino Southern Oscillation (ENSO) impacts commodity production and prices around the world. This study revisits fishmeal-soya bean meal price ratio dynamics and examines it in relation to the ENSO anomalies. A smooth transition autoregressive modelling framework is applied to assess nonlinearities in the ENSO-price ratio relationship, and generalised impulse-response functions and derived asymmetry functions are utilised to illustrate characteristic features of the estimated model dynamics. The results suggest economically meaningful impacts of ENSO on the price ratio dynamics, and indicate statistical significance of these effects for up to one year after the ENSO shocks.