IDEAS home Printed from https://ideas.repec.org/a/ags/jlaare/320674.html

Decomposing USDA Ending Stocks Forecast Errors

Author

Listed:
  • Goyal, Raghav
  • Adjemian, Michael K.
  • Glauber, Joseph
  • Meyer, Seth

Abstract

The U.S. Department of Agriculture (USDA) publishes monthly Ending Stocks projections, providing an estimate of the end-of-marketing-year inventory of a particular commodity, which effectively summarizes supply and demand outlook. By comparing USDA's projections of balance sheet variables against their realized values from marketing years 1992/3 to 2019/20, we decompose ending stocks forecast errors into errors of the other supply and demand components. We apply a decision-tree-based ensemble Machine Learning (ML) algorithm, Extreme Gradient Boost Tree (EGBT), that uses a gradient boosting framework and is robust to multicollinearity. Our results indicate export and production misses to be the major contributors to ending stocks projection errors. Because foreign imports are likely tied to foreign production deficits, we likewise investigate how U.S. export errors are linked to USDA's foreign production and export forecast misses, country-by-country, and show that misses on production and export levels in China, Mexico, Brazil, and Europe cost USDA the most.
(This abstract was borrowed from another version of this item.)

Suggested Citation

  • Goyal, Raghav & Adjemian, Michael K. & Glauber, Joseph & Meyer, Seth, 2023. "Decomposing USDA Ending Stocks Forecast Errors," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 48(2), May.
    • Handle: RePEc:ags:jlaare:320674
    DOI: 10.22004/ag.econ.320674
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/320674/files/JARE320674.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.320674?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. MacDonald, Stephen & Ash, Mark, 2016. "Detecting the Sources of Information Rigidity: Analyzing Forecast Bias and Smoothing in USDA’s Soybean Forecasts," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235349, Agricultural and Applied Economics Association.
    2. Nicolas Woloszko, 2020. "Adaptive Trees: a new approach to economic forecasting," OECD Economics Department Working Papers 1593, OECD Publishing.
    3. Olga Isengildina-Massa & Scott H. Irwin & Darrel L. Good & Jennifer K. Gomez, 2008. "Impact of WASDE reports on implied volatility in corn and soybean markets," Agribusiness, John Wiley & Sons, Ltd., vol. 24(4), pages 473-490.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Cao, An N.Q. & Heckelei, Thomas & Ionici, Octavian & Robe, Michel A., 2024. "USDA reports affect the stock market, too," Journal of Commodity Markets, Elsevier, vol. 34(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Isengildina-Massa, Olga & Cao, Xiang & Karali, Berna & Irwin, Scott H. & Adjemian, Michael & Johansson, Robert C., 2021. "When does USDA information have the most impact on crop and livestock markets?," Journal of Commodity Markets, Elsevier, vol. 22(C).
    2. An N. Q. Cao & Michel A. Robe, 2022. "Market uncertainty and sentiment around USDA announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 250-275, February.
    3. Lusk, Jayson L., "undated". "From Farm Income to Food Consumption: Valuing USDA Data Products," C-FARE Reports 266593, Council on Food, Agricultural, and Resource Economics (C-FARE).
    4. Marin Bozic, 2010. "Pricing Options on Commodity Futures: The Role of Weather and Storage," Working Papers 1003, The Institute of Economics, Zagreb.
    5. Sun, Zhining & Katchova, Ani & Giri, Anil K. & Subedi, Dipak, 2024. "The Announcement Effect of MFP and CFAP on Futures Commodity Prices," 2024 Annual Meeting, July 28-30, New Orleans, LA 343895, Agricultural and Applied Economics Association.
    6. Raghav Goyal & Michael K. Adjemian, 2023. "Information rigidities in USDA crop production forecasts," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(5), pages 1405-1425, October.
    7. Xie, Ran & Isengildina-Massa, Olga Isengildina- & Sharp, Julia L., 2014. "Quantifying Public and Private Information Effects on the Cotton Market," 2014 Conference, April 21-22, 2014, St. Louis, Missouri 285815, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    8. Goyal, Raghav & Adjemian, Michael K., 2022. "Information Rigidities in USDA Forecasts," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322339, Agricultural and Applied Economics Association.
    9. Arnade, Carlos & Hoffman, Linwood & Effland, Anne, "undated". "The Impact of Public Information on Commodity Market Performance: The Response of Corn Futures to USDA Corn Production Forecasts," USDA Miscellaneous 313488, United States Department of Agriculture.
    10. Roberto Andreotti Bodra & Afonso De Campos Pint, 2014. "Modelo De Volatilidade Estocástica Com Saltos Aplicado A Commodities Agrícolas," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 142, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
    11. Cao, An N.Q. & Ionici, Octavian & Robe, Michel A., 2022. "USDA Announcements and the Stock Prices of Food-Sector Companies," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322062, Agricultural and Applied Economics Association.
    12. Philippe Goulet Coulombe, 2024. "The macroeconomy as a random forest," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 39(3), pages 401-421, April.
    13. Lotfali Azari & Aliakbar Naji Meidani & Narges Salehnia, 2024. "Predicting the Impact of Climate Conditions on the Economic Production of Iranian Provinces with The Approach of Random Forest Algorithm," Quarterly Journal of Applied Theories of Economics, Faculty of Economics, Management and Business, University of Tabriz, vol. 11(2), pages 1-34.
    14. Darby, Jessica L. & McKenzie, Andrew M., 2015. "Information Content of USDA Rice Reports and Price Reactions of Rice Futures," 2015 Conference, April 20-21, 2015, St. Louis, Missouri 285835, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    15. repec:ags:aaea22:343895 is not listed on IDEAS
    16. Sun, Zhining & Katchova, Ani, 2024. "Herding in the WASDE," 2024 Annual Meeting, July 28-30, New Orleans, LA 344064, Agricultural and Applied Economics Association.
    17. Milacek, Trent T. & Brorsen, B. Wade, 2013. "How Much Would It Be Worth to Know the WASDE Report In Advance?," 2013 Conference, April 22-23, 2013, St. Louis, Missouri 285789, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    18. Yang, Yao & McKenzie, Andrew, 2024. "The Impacts of USDA Reports on Pre-Harvest Volatility Expectations: the Case of Corn New Crop Futures," 2024 Conference, April 22-23, 2024, St. Louis, Missouri 379014, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    19. Adjemian, Michael K. & Bruno, Valentina G. & Robe, Michel A., 2016. "What Drives Volatility Expectations in Grain Markets?," 2016 Conference, April 18-19, 2016, St. Louis, Missouri 285861, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    20. Lihong Lu McPhail & Bruce A. Babcock, 2008. "Short-Run Price and Welfare Impacts of Federal Ethanol Policies," Center for Agricultural and Rural Development (CARD) Publications 08-wp468, Center for Agricultural and Rural Development (CARD) at Iowa State University.
    21. 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.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:jlaare:320674. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: https://edirc.repec.org/data/waeaaea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.