The main objective of this research is to evaluate the impact of climate change on food crop yields in Senegal using the Factor Augmented Vector Auto Regression (FAVAR) approach. The estimation method used is principal components analysis. We identified two major shocks representative of climate change. The first is an increase of temperature (thermal shock) and the second is a decrease in the quantity of precipitation (rainfall shock). The data covers the period 1970-2014 and each of the shocks is carried out over the prior year. The impact of each shock is observed along a time horizon of 10 years. The results show a positive impact of the thermal shock on the yields of rice, maize and millet, with a much greater impact on rice and maize yield. Rising temperatures are, however, detrimental to sorghum. A decline in rainfall has a negative impact on the yields of all cereals, which is in line with expectations.