海洋聖嬰指數與農產品期貨價格之關聯性研究

The Study on the Relationship between the Oceanic Niño Index and Agricultural Futures Prices

本研究探討2008年金融海嘯後，2009年1月至2024年7月海洋聖嬰指數（ONI指數）與四項農產品期貨價格之關聯性，資料頻率為月。另外，將ONI指數大於0.5，小於-0.5，及介於0.5和-0.5之間，定義為聖嬰期間、反聖嬰期間及正常期間，分三期間加以探討。實證結果歸納如下：
於全期間，本研究進行海洋聖嬰指數（ONI）及四項農產品期貨價格之因果關係檢定，結果只有海洋聖嬰指數與CBOT黃豆期貨價格之間具有雙向因果關係，對NYBOT咖啡期貨價格則具有單向因果關係。其次，聖嬰期間、正常期間及反聖嬰三期間之迴歸分析結果顯示，於聖嬰期間，海洋聖嬰指數與四項農產品期貨價格之係數皆不顯著。但於正常及反聖嬰兩期間，海洋聖嬰指數（自變數）與四項農產品期貨價格（應變數）之係數皆為顯著的負數，也就是此兩期間，當海洋聖嬰指數下跌時，農產品期貨價格則趨於上漲；反之，當洋聖嬰指數上漲時，四項農產品期貨價格則趨於下跌。

This study explores the relationship between the Oceanic Niño Index (ONI) and four agricultural futures prices from January 2009 to July 2024 after the 2008 financial tsunami. The data frequency is monthly. In addition, according to the ONI index greater than 0.5, less than - 0.5, and between 0.5 and -0.5, it is defined as the El Niño period, the La Niña period, and the normal period, respectively. This study will discuss these three periods. The empirical results were summarized as follows:
This study conducted a causal relationship test for the entire period between the Oceanic Niño Index (ONI) and four agricultural futures prices. The results showed that only the Oceanic Niño Index (ONI) had a two-way causal relationship with the CBOT soybean futures price. However, the NYBOT coffee futures price had a one-way causal relationship with the CBOT soybean futures price. Secondly, the regression analysis results of the El Niño, the La Niña, and the normal periods showed that during the El Niño period, the coefficients of the Oceanic Niño Index (ONI) to agricultural futures prices were not significant. However, during the normal and La Niña periods, the coefficients of the Oceanic Niño Index (ONI) (independent variable) to four agricultural futures prices (response variable) were significantly negative. That is, during these two periods, when the Oceanic Niño Index (ONI) fell, the four agricultural futures prices would tend to rise, and on the contrary, when the Ocean El Niño Index rose, agricultural futures prices would tend to fall.