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

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  • Yang, Yu
  • Rong, Huilu
  • Cheng, Gaoxin
  • Gao, Hui

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.

Suggested Citation

  • Yang, Yu & Rong, Huilu & Cheng, Gaoxin & Gao, Hui, 2025. "Soybean futures responses to meteorological disaster risk —— Empirical evidence from the Chicago board of trade," Finance Research Letters, Elsevier, vol. 78(C).
    • Handle: RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325001680
    DOI: 10.1016/j.frl.2025.106904
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