IDEAS home Printed from https://ideas.repec.org/p/ags/aaea16/235811.html
   My bibliography  Save this paper

The Value of Government Information in an Era of Declining Budgets

Author

Listed:
  • Adjemian, Michael K.
  • Johansson, Robert
  • McKenzie, Andrew
  • Thomsen, Michael

Abstract

USDA situation and outlook information contributes to the efficient operation of agricultural commodity markets. But, traders cannot adjust their price or uncertainty expectations to information that they do not have. In 2013, the USDA curtailed the publication of its crop report for the first time since the nineteenth century due to an appropriations lapse. We examine corn and soybean derivatives data around the scheduled October 2013 WASDE and find that markets for these commodities did not display characteristic patterns in terms of uncertainty resolution and price changes that are normally observed around scheduled USDA release times. We then construct the path that corn and soybean implied volatility would have taken if an average October report had been published. Although we do estimate significant announcement effects (in terms of uncertainty resolution and price adjustment) after the first report that was issued by USDA following the shutdown, we are unable to detect that it carried any enhanced effects.

Suggested Citation

  • Adjemian, Michael K. & Johansson, Robert & McKenzie, Andrew & Thomsen, Michael, 2016. "The Value of Government Information in an Era of Declining Budgets," 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts 235811, Agricultural and Applied Economics Association.
  • Handle: RePEc:ags:aaea16:235811
    DOI: 10.22004/ag.econ.235811
    as

    Download full text from publisher

    File URL: http://ageconsearch.umn.edu/record/235811/files/The%20Value%20of%20Government%20Information_Declining%20Budgets.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Nathan Kauffman, 2013. "Have extended trading hours made agricultural commodity markets riskier?," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 67-94.
    2. Good, Darrel L. & Irwin, Scott H. & Isengildina, Olga, 2006. "The Value of USDA Situation and Outlook Information in Hog and Cattle Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 31(2), pages 1-21, August.
    3. T. Randall Fortenbery & Daniel A. Sumner, 1993. "The effects of USDA reports in futures and options markets," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 13(2), pages 157-173, April.
    4. Phil L. Colling & Scott H. Irwin, 1990. "The Reaction of Live Hog Futures Prices to USDA Hogs and Pigs Reports," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 72(1), pages 84-94.
    5. Michael K. Adjemian, 2012. "Quantifying the WASDE Announcement Effect," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 94(1), pages 238-256.
    6. Andrew M. McKenzie, 2008. "Pre-Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(2), pages 351-366.
    7. Orlen Grunewald & Mark S. McNulty & Arlo W. Biere, 1993. "Live Cattle Futures Response to Cattle on Feed Reports," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 75(1), pages 131-137.
    8. Black, Fischer, 1976. "The pricing of commodity contracts," Journal of Financial Economics, Elsevier, vol. 3(1-2), pages 167-179.
    9. Richard E. Just, 1983. "The Impact of Less Data on the Agricultural Economy and Society," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 65(5), pages 872-881.
    10. Garcia, Philip & Irwin, Scott H. & Leuthold, Raymond M. & Yang, Li, 1997. "The value of public information in commodity futures markets," Journal of Economic Behavior & Organization, Elsevier, vol. 32(4), pages 559-570, April.
    11. Victoria Salin & Amy P. Thurow & Katherine R. Smith & Nicole Elmer, 1998. "Exploring the Market for Agricultural Economics Information: Views of Private Sector Analysts," Review of Agricultural Economics, Agricultural and Applied Economics Association, vol. 20(1), pages 114-124.
    12. Georg V. Lehecka & Xiaoyang Wang & Philip Garcia, 2014. "Gone in Ten Minutes: Intraday Evidence of Announcement Effects in the Electronic Corn Futures Market," Applied Economic Perspectives and Policy, Agricultural and Applied Economics Association, vol. 36(3), pages 504-526.
    13. Michael Gorham, 1978. "Public and private sector information in agricultural commodity markets," Economic Review, Federal Reserve Bank of San Francisco, issue Spr, pages 30-38.
    Full references (including those not matched with items on IDEAS)

    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:aaea16:235811. See general information about how to correct material in RePEc.

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

    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 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.