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Modelling+the+ENSO+Forecast+on+Soybean+Spot+and+Future+Prices

By Shu-Yi Liao, Sheng-Tung Chen and Chi-Chung Chen

Abstract

This paper is intended to investigate the effect of ENSO on soybean spot and future prices. A two stages model was implemented where the first stage is to estimate the impacts of ENSO on soybean spot prices while the connection between ENSO and soybean futures prices is investigated in the second stage. Later, the Bayesian decision theory is adopted to estimate the confidence intervals of the effect of ENSO forecast information on soybean spot prices. The results show that the magnitude of the effects on soybean spot prices from El Ni�o and La Ni�a phases is larger than that from Neutral event. As considering the result from the soybean future prices, El Ni�o has negative effect on soybean futures prices but La Ni�a has the opposite effect. The effect of ENSO forecast information on soybean spot prices with prior information are smaller than that without prior information which implies that the ENSO forecast information could reduce the risk of soybean prices

Topics: ENSO, Soybeans, Future Prices
Publisher: 臺中巿: 國立中興大學農學院
Year: 2014
OAI identifier: oai:ir.lib.nchu.edu.tw:11455/80937
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