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Entendiendo, Modelando y Pronosticando el Efecto de “El Niño” Sobre los Precios de los Alimentos: El Caso Colombiano

Author

Listed:
  • Valeria Bejarano-Salcedo

    (Banco de la República de Colombia)

  • Juan Manuel Julio-Román

    (Banco de la República de Colombia)

  • Edgar Caicedo-García

    (Banco de la República de Colombia)

  • Julián Alonso Cárdenas-Cárdenas

    (Banco de la República de Colombia)

Abstract

Proponemos nuevos modelos para el efecto de “El Niño Southern Oscillation”, ENSO, sobre los precios de los alimentos en Colombia. Estudiamos el efecto del “Oceanic Niño Index”, ONI, la medida de ENSO preferida, y de las precipitaciones locales sobre los precios de los alimentos perecederos. Estos modelos surgen de hechos estilizados conocidos, los cuales resumimos en este escrito, y admiten representaciones tiempo-variantes espacio-estado, de las que derivamos las reglas ´optimas de pron´ostico. Encontramos que una funci´on de transferencia simple, condicional a la intensidad de ENSO, es suficiente para explicar estas relaciones. En adici´on al bien conocido hecho que la Ni˜na tiene un efecto distinto al del Ni˜no sobre los precios de los alimentos, tambi´en hallamos que el efecto de ENSO cambia con su intensidad. Reconocer que el ONI es un indicador imperfecto de las condiciones clim´aticas locales mejora el ajuste de nuestro modelo, lo cual se refleja en sus pron´osticos. El modelo para la precipitaci´on, sin embargo, no necesita de este recurso. Tambi´en surgen ganancias en eficiencia debido al modelamiento de la heterocedasticidad. Finalmente, estos modelos pueden servir para entender el efecto de ENSO en otras variables como el PIB. **** ABSTRACT: We propose models for the effect of El Ni˜no Southern Oscillation, ENSO, on food prices. We study the effect of the Oceanic Ni˜no Index, ONI, the preferred ENSO measure, and rainfall on fresh food prices. These models arise from well known stylized facts, which we summarize in this paper, and have time-varying state space forms from which we derive optimal forecasts. We found that a simple transfer function, conditional on ENSO intensity, suffices to model these relationships. In addition to the well known fact that Ni˜nas’ effect on food prices differs from Ni˜nos’ effect, we also found that ENSO’s effect varies with its intensity. Furthermore, acknowledging that ONI is an imperfect measure of local climatic conditions improves the model fit, which yields sensible forecasts. The rainfall-based model, however, does not employ this methodology. We also report efficiency gains from heteroskedasticity modelling. Finally, these models may also serve to study ENSO effect on other variables such as the GDP.

Suggested Citation

  • Valeria Bejarano-Salcedo & Juan Manuel Julio-Román & Edgar Caicedo-García & Julián Alonso Cárdenas-Cárdenas, 2020. "Entendiendo, Modelando y Pronosticando el Efecto de “El Niño” Sobre los Precios de los Alimentos: El Caso Colombiano," Borradores de Economia 1102, Banco de la Republica de Colombia.
  • Handle: RePEc:bdr:borrec:1102
    DOI: https://doi.org/10.32468/be.1102
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    References listed on IDEAS

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    More about this item

    Keywords

    Inflación de Alimentos; El Niño; Pronóstico de la Inflación; Política Monetaria; Food inflation; “El Niño”; Inflation forecasting; Monetary Policy;
    All these keywords.

    JEL classification:

    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E31 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Price Level; Inflation; Deflation
    • E37 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles - - - Forecasting and Simulation: Models and Applications
    • E58 - Macroeconomics and Monetary Economics - - Monetary Policy, Central Banking, and the Supply of Money and Credit - - - Central Banks and Their Policies

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