Publié le 10 février 2025
–
Mis à jour le 29 octobre 2025
Date(s)
le 13 novembre 2025
Lieu(x)
GREDEG Picasso Room
GREDEG
Title:How does ENSO impact U.S. Oil Spot and Future Prices?
Abstract: 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.
More about Jamel Saddaoui
Abstract: 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.
More about Jamel Saddaoui
Date(s)
Le
13 novembre 2025 14:00
- 15:30
