Truly honored to present our research titled Not All Climate Shocks Are Alike: How ENSO Impacts Oil Prices, written with Mauro Gallegati, William Ginn, Solomos Solomou, and Kun Tian at the Université Côte d’Azur during a research seminar on Thursday 13th November 2025. I am extremely grateful to Francesco Toni for the invitation. Stay tuned for more information.
Not All Climate Shocks Are Alike: How ENSO Impacts Oil Prices
This paper investigates how El Niño-Southern Oscillation (ENSO) shocks influence U.S. oil spot and futures prices from 1983:03 to 2024:10 using a Time-Varying Parameter Local Projections (TVP-LP) model. The approach captures evolving impulse responses and allows for phase, temporal, and spatial heterogeneity. The results reveal that El Niño shocks generally reduce spot and futures prices, while La Niña shocks, particularly extreme episodes, generate persistent upward pressures. The effects are most pronounced within a 12-month horizon, indicating delayed but significant transmission through demand and production channels. Accounting for ENSO diversity, we find that Central-Pacific (CP) events-especially La Niña-produce stronger inflationary impacts than Eastern-Pacific (EP) events, which tend to have muted or deflationary effects. Overall, the findings highlight that not all ENSO shocks affect spot and futures prices the same, emphasizing the importance of recognizing heterogeneity across phase, horizon, and spatial structure.
Gallegati, M., Ginn, W., Saadaoui, J., Solomou, S., Tian, K. (2025), Not All Climate Shocks Are Alike: How ENSO Impacts Oil Prices. Available at SSRN: 5549860