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Do USDA Announcements Affect Comovements Across Commodity Futures Returns?

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  • Karali, Berna

Abstract

The value of USDA reports has long been a question of interest for researchers and practitioners. However, the impact of announcements on comovements across related commodity prices has not been explored beyond financial asset markets. This is important because the structure of the relationship between commodities could change depending on the type of information revealed in the announcement, thus affecting price perceptions, hedging ratios, and portfolio return variance. This study simultaneously measures the impact of selected USDA reports on the conditional variances and covariances of returns on corn, lean hogs, soybeans, soybean meal, and soybean oil futures contracts using a multivariate GARCH model. It is shown that the largest movements in covariances are observed on the release days of Feed Outlook, Grain Stocks, and Hogs and Pigs reports.

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  • Karali, Berna, 2012. "Do USDA Announcements Affect Comovements Across Commodity Futures Returns?," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 37(1), pages 1-21, April.
    • Handle: RePEc:ags:jlaare:122315
    DOI: 10.22004/ag.econ.122315
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    2. Urom, Christian & Anochiwa, Lasbrey & Yuni, Denis & Idume, Gabriel, 2019. "Asymmetric linkages among precious metals, global equity and bond yields: The role of volatility and business cycle factors," The Journal of Economic Asymmetries, Elsevier, vol. 20(C).
    3. Ying, Jiahui & Shonkwiler, J. Scott, 2017. "A Temporal Impact Assessment Method for the Informational Content of USDA Reports in Corn and Soybean Futures Markets," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258201, Agricultural and Applied Economics Association.
    4. Bahram Sanginabadi, 2018. "USDA Forecasts: A meta-analysis study," Papers 1801.06575, arXiv.org.
    5. Berna Karali & Scott H. Irwin & Olga Isengildina‐Massa, 2020. "Supply Fundamentals and Grain Futures Price Movements," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 548-568, March.
    6. McKenzie, Andrew M. & Ke, Yangmin, 2022. "How do USDA announcements affect international commodity prices?," Journal of Commodity Markets, Elsevier, vol. 28(C).
    7. Karali, Berna & Isengildina-Massa, Olga & Irwin, Scott H. & Adjemian, Michael K. & Johansson, Robert, 2019. "Are USDA reports still news to changing crop markets?," Food Policy, Elsevier, vol. 84(C), pages 66-76.
    8. Indriawan, Ivan & Martinez, Valeria & Tse, Yiuman, 2021. "The impact of the change in USDA announcement release procedures on agricultural commodity futures," Journal of Commodity Markets, Elsevier, vol. 23(C).
    9. Farhangdoost, Sara & Etienne, Xiaoli L., 2020. "Time-Varying Storage Announcement Effect in Natural Gas Market," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304476, Agricultural and Applied Economics Association.
    10. Terrance Grieb & Nam Hoang, 2019. "The Effects of Hedging and Speculation on Cash-Futures Basis: Results from U.S. Wheat Markets," Review of Economics & Finance, Better Advances Press, Canada, vol. 17, pages 1-15, August.
    11. Yang, Yao & Karali, Berna, 2022. "The Role of USDA Reports on Extreme Volatility Coexceedances: An Application to the Soybean Complex," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322104, Agricultural and Applied Economics Association.
    12. Xinyue He & Teresa Serra & Philip Garcia, 2021. "Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(2), pages 743-764, March.
    13. Olga Isengildina Massa & Berna Karali & Scott H. Irwin, 2024. "What do we know about the value and market impact of the US Department of Agriculture reports?," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 46(2), pages 698-736, June.
    14. Plante, Michael & Dhaliwal, Navi, 2017. "Inventory shocks and the oil–ethanol–grain price nexus," Economics Letters, Elsevier, vol. 156(C), pages 58-60.
    15. Yang, Yao & Karali, Berna, 2022. "How far is too far for volatility transmission?," Journal of Commodity Markets, Elsevier, vol. 26(C).
    16. Adrian Fernandez‐Perez & Bart Frijns & Ivan Indriawan & Alireza Tourani‐Rad, 2019. "Surprise and dispersion: informational impact of USDA announcements," Agricultural Economics, International Association of Agricultural Economists, vol. 50(1), pages 113-126, January.
    17. Lusk, Jayson L., 2016. "From Farm Income to Food Consumption: Valuing USDA Data Products," C-FARE Reports 266593, Council on Food, Agricultural, and Resource Economics (C-FARE).
    18. Capitani, Daniel H D & Mattos, Fabio L. & Cruz, Jose Cesar & Silva, Renato Moraes & Franco Da Silveira, Rodrigo Lanna, 2024. "The Reaction Of Corn Futures Prices To U.S. And Brazilian Crop Reports," 2024 Annual Meeting, July 28-30, New Orleans, LA 343571, Agricultural and Applied Economics Association.

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