The Study Of Soybean Meal Hedge Strategy Based On ENSO Event

ENSO is a global extreme climate model.This extreme climate phenomenon has brought adverse effects on agricultural products,not only in terms of crop production,but also in terms of commodity futures price risk related to crops.When SST in the Pacific Ocean continues to show unusually high and low variations,market expectations of ENSO events will rise,which is transmitted to the expected value of crop yields,further leading to the magnification of fluctuations in agricultural prices.China is a big importer of soybean.It is estimated that China will import 97 million tons of soybean in 2017/18,accounting for 62.55%of the total global import.Under this background,hedging is of great significance to avoid risks.After more than 20 years of development,China's futures market has a relatively complete commodity sequence,the top-down chain of the futures industry has gradually improved,some varieties of market positions and turnover ranked among the world's top,with better liquidity.Soybean meal futures listed by big merchants have a high correlation with spot,which has been generally recognized by the upstream and downstream of the soybean industry chain.The hedging business of enterprises in soybean meal futures has also developed relatively mature.The starting point of this study is the ENSO event,which is different from the ordinary short term weather phenomena.Because ENSO events have a certain degree of sustainability,periodicity and predictability,so its impact on commodity prices will also show a certain degree of periodicity and predictability,so that the analytical framework can be placed in a repeatable observation of a specific event,that is,when the ENSO event occurs or its large cycle changes,can be predicted.The price of goods affected by its influence may also change.In the empirical analysis,in order to more accurately explain the impact of ENSO events on soybean meal hedging,this paper uses four years of data,respectively calculated five classical hedging model performance comparison,the final conclusion is:VaR model is a minimum variance,but also add hedger expected return model,in ENSO event.In case of large cycle turning or strong cycle continuation,we can get better hedging effect by tracking the change of NIN03.4 index,intervening in the appropriate hedging window and adjusting the hedging position according to the degree of risk preference.Finally,for the application level of this paper,the author suggests that hedging enterprises should choose a more scientific hedging model in the face of complex and volatile financial markets and unpredictable disastrous weather,rather than only using the traditional,single model to deal with.