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Futures Price Response to Crop Reports in Grain Markets

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  • Fabio L. Mattos
  • Rodrigo L. F. Silveira

Abstract

The purpose of this study is to investigate the impact of crop reports from U.S. and Brazil on corn and soybean futures markets over the period 2004–2014. A TARCH model with dummy variables to measure the impact of crop reports is used. Results indicate that U.S. reports consistently affect corn and soybean futures price volatility, while Brazilian crop reports' impact on volatility is of smaller magnitude. Further, these impacts are generally found to be stronger when crop reports are released in the months preceding the beginning of harvest. © 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:923–942, 2016

Suggested Citation

  • Fabio L. Mattos & Rodrigo L. F. Silveira, 2016. "Futures Price Response to Crop Reports in Grain Markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 36(10), pages 923-942, October.
    • Handle: RePEc:wly:jfutmk:v:36:y:2016:i:10:p:923-942
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    Cited by:

    1. Costa, Geraldo Jr. & Trujillo-Barrera, Andres & Pennings, Joost M.E., 2018. "Concentration and Liquidity Costs in Emerging Commodity Exchanges," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 43(3), September.
    2. Klomp, Jeroen, 2020. "The impact of Russian sanctions on the return of agricultural commodity futures in the EU," Research in International Business and Finance, Elsevier, vol. 51(C).
    3. Etienne, Xiaoli L. & Farhangdoost, Sara & Hoffman, Linwood A. & Adam, Brian D., 2023. "Forecasting the U.S. season-average farm price of corn: Derivation of an alternative futures-based forecasting model," Journal of Commodity Markets, Elsevier, vol. 30(C).

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