The value of public information in commodity futures markets
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Cited by (55)
USDA reports affect the stock market, too
2024, Journal of Commodity MarketsForecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model
2023, Journal of Commodity MarketsEffect of the monsoon forecast announcement on stock returns
2021, IIMB Management ReviewCitation Excerpt :Events such as monetary policy announcements (Bernanke & Kuttner, 2005; Thorbecke, 1997), elections (Santa-Clara & Valkanov, 2003) and harvest forecasts (Baur & Orazem, 1994; Garcia, Irwin, Leuthold & Yang, 1997; Sumner & Mueller, 1989) are of particular importance to financial markets as they have an economy-wide impact and affect prices of a wide spectrum of assets.
When does USDA information have the most impact on crop and livestock markets?
2021, Journal of Commodity MarketsCitation Excerpt :More importantly, 28.5% of the days with Hogs and Pigs report releases were subject to price limit moves. Therefore, the following adjustment was made to the futures returns calculation above to take into account the impact of limit moves, if trading day −1 was non-limit and trading day 0 (report release) was limit, the return for day 0 was calculated using the closing price on day −1 and the closing price on the first non-limit day available thereafter (an approach similar to that used in previous studies, e.g., Garcia et al., 1997). The reaction window was also adjusted to include five post-report days.
Are USDA reports still news to changing crop markets?
2019, Food PolicyCitation Excerpt :However, less is known about changes in impact over time. Some evidence of diminished market impact starting in the mid-1980s has been reported (Fortenbery and Sumner, 1993), but other evidence indicates no change or even an increasing impact after the mid-1980s (Garcia et al., 1997; Isengildina-Massa et al., 2008). Two recent studies estimating changes in market impacts (Isengildina-Massa et al., 2016; Ying et al., 2017) suggest that some USDA crop reports are still informative and influential in crop futures markets, but there are some reports whose impact appears to be declining.
Can Private Forecasters Beat the USDA? Analysis of Relative Accuracy of Crop Acreage and Production Forecasts
2020, Journal of Agricultural and Applied Economics