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Are USDA reports still news to changing crop markets?

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  • Karali, Berna
  • Isengildina-Massa, Olga
  • Irwin, Scott H.
  • Adjemian, Michael K.
  • Johansson, Robert

Abstract

This study investigates whether major USDA reports still provide important news to changing crop markets. The news component of each report, or market “surprise,” is measured as a difference between the USDA estimate and its private expectation in corn, soybeans, and wheat markets. Changes in the relevance of USDA information are assessed by examining changes in the magnitude of market surprises and shifts in the futures price reaction to these surprises, which isolates the impact of each report. The stable size of market surprises over time suggests that competition from alternative data sources has not reduced the news component of USDA crop reports. Increasing price reaction to most reports, including those facing competition from alternative information sources, suggests that value of public information may be enhanced in uncertain markets affected by structural changes.

Suggested Citation

  • 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.
  • Handle: RePEc:eee:jfpoli:v:84:y:2019:i:c:p:66-76
    DOI: 10.1016/j.foodpol.2019.02.005
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    Cited by:

    1. 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.
    2. Pierrick Piette, 2019. "Can Satellite Data Forecast Valuable Information from USDA Reports ? Evidences on Corn Yield Estimates," Working Papers hal-02149355, HAL.
    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. Adjemian, Michael K. & Irwin, Scott H., 2020. "The market response to government crop news under different release regimes," Journal of Commodity Markets, Elsevier, vol. 19(C).

    More about this item

    Keywords

    Announcement effects; Big data; Crop futures; Market surprise; Price reaction; USDA reports;

    JEL classification:

    • C32 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models
    • D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
    • D84 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Expectations; Speculations
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • Q11 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Aggregate Supply and Demand Analysis; Prices
    • Q13 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture - - - Agricultural Markets and Marketing; Cooperatives; Agribusiness

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