Soybean futures responses to meteorological disaster risk —— Empirical evidence from the Chicago board of trade

Yu Yang, Huilu Rong, Gaoxin Cheng and Hui Gao

Finance Research Letters, 2025, vol. 78, issue C

Abstract: This study examines the impact of meteorological disasters on soybean futures return volatility, with a focus on the Chicago Board of Trade soybean futures market. We use the mixed-frequency GARCH-MIDAS model and its extensions to capture both short- and long-term market fluctuations. The results show that integrating weather-related disaster variables and growing season data enhances volatility forecast accuracy. Moreover, the STL decomposition-based moving block bootstrap method further improves predictive accuracy. Finally, these findings offer key insights for futures pricing of meteorological risks and practical guidance for policymakers to mitigate them.

Keywords: Meteorological disaster risk; GARCH-MIDAS model; Asset pricing; Chicago soybean futures market (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325001680

DOI: 10.1016/j.frl.2025.106904

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