Not All Climate Shocks Are Alike: How ENSO Impacts Oil Prices

El Nino-Southern Oscillation (ENSO) anomalies have time-varying and asymmetric effects on U.S. WTI spot and futures prices over 1983-2024. A Time-Varying Parameter Local Projections (TVP-LP) framework recovers horizon-specific coefficient paths, allowing the transmission of a phase-specific ENSO anomaly to differ across historical oil-market environments. The evidence reveals that El Nino anomalies lower real oil prices at six- to twelve-month horizons, whereas La Nina anomalies raise them over the same horizon. Since the ENSO variables are phase-specific absolute Nino 3.4 SST anomalies measured in degrees Celsius, the estimated dynamic multipliers are interpreted per one-degree Celsius increase in the corresponding anomaly. For futures prices, responses to anomaly magnitudes of 0.6 C for El Nino and 0.5 C for La Nina yield declines of about 7.4-12.0 percent and increases of about 10.8-15.0 percent, respectively. Central-Pacific events, especially La Nina, generate stronger inflationary effects than Eastern-Pacific events, which are typically muted or deflationary. These findings indicate that ENSO-related oil-price risk depends jointly on phase, response horizon, calendar time, and spatial ENSO type.