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How do USDA announcements affect international commodity prices?

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  • McKenzie, Andrew M.
  • Ke, Yangmin

Abstract

Our event study results show that Chinese soybean futures and to a lesser extent Chinese corn futures react to the release of World Agricultural Supply and Demand Estimate reports. Second, using a copula based Conditional Value at Risk (CoVaR) approach we find strong evidence that risk spillovers from U.S. to Chinese futures markets are much larger on report release days than on pre and post-release days. In addition, our results indicate that risk spillovers from U.S. to Chinese futures markets, irrespective of trading day, are asymmetric in nature, with upside risk spillovers much higher than downside risk spillovers.

Suggested Citation

  • McKenzie, Andrew M. & Ke, Yangmin, 2022. "How do USDA announcements affect international commodity prices?," Journal of Commodity Markets, Elsevier, vol. 28(C).
    • Handle: RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851321000726
    DOI: 10.1016/j.jcomm.2021.100239
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    References listed on IDEAS

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    Cited by:

    1. Fan, Zaifeng & Jump, Jeff & Tse, Yiuman & Yu, Linda, 2023. "Volatility in US dairy futures markets," Journal of Commodity Markets, Elsevier, vol. 29(C).

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