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Flexible Tests for USDA Report Announcement Effects in Futures Markets

Author

Listed:
  • Jiahui Ying
  • Yu Chen
  • Jeffrey H Dorfman

Abstract

The value of USDA reports in commodity futures markets has been intensively researched, but statistical hypothesis tests have been limited by the sheer number of reports and the consequent need to limit parameters to be estimated. This has led most tests of USDA report announcement effects to be based on single coefficients for each report series. We relax the implicit assumption that a report series has a constant impact on futures price volatility or returns in two ways in order to introduce more flexible tests for announcement effects. First, we introduce a time trend into the impact of announcements on futures price volatility to determine if USDA reports are becoming more or less influential over time. Then we allow each report to have a different impact on futures price returns using Theil-Goldberger mixed estimation. The results show that many, but not all, USDA reports have significant effects on corn and soybean futures market returns or volatility.

Suggested Citation

  • Jiahui Ying & Yu Chen & Jeffrey H Dorfman, 2019. "Flexible Tests for USDA Report Announcement Effects in Futures Markets," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 101(4), pages 1228-1246.
    • Handle: RePEc:oup:ajagec:v:101:y:2019:i:4:p:1228-1246.
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    File URL: http://hdl.handle.net/10.1093/ajae/aaz013
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    Citations

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    Cited by:

    1. 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.
    2. Arnade, Carlos Anthony & Hoffman, Linwood A., 2020. "The Impact of Public Information on Commodity Market Performance : The Response of Corn Futures to USDA Corn Production Forecasts," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304181, Agricultural and Applied Economics Association.
    3. 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.
    4. Goyal, Raghav & Adjemian, Michael K., 2021. "The 2019 government shutdown increased uncertainty in major agricultural commodity markets," Food Policy, Elsevier, vol. 102(C).
    5. 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.

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