AN ENSO SIGNAL IN SOYBEAN FUTURES PRICES

An example of socioeconomic repercussions of the El Nino-Southern Oscillation (ENSO) is examined. Multichannel singular spectrum analysis, a variant of principal component analysis useful in isolating the spatial and temporal variability associated with anharmonic oscillations, is applied to normalized monthly mean time series of soybean futures prices and the Southern Oscillation index. The method isolates the variability common to the two time series from the remaining variability and noise. It identifies the low- and high-frequency, quasibiennial modes of ENSO as part of this variability.