USDA Announcement Effects are Asymmetric and Nonlinear

USDA crop reports are major information events in agricultural commodity markets, but their price effects may depend on the belief and market environment in which the news arrives. This paper studies futures price responses to WASDE ending-stocks and Grain Stocks reports for corn, soybeans, and wheat using USDA realizations, analyst forecast distributions, and daily futures prices. The analysis first addresses measurement error in consensus-based surprises using a control-function approach based on forecast dispersion. It then estimates reduced-form interaction models to examine whether responses vary with forecast dispersion and pre-report market tightness. The results show that measurement-error correction matters most clearly for corn, while belief-based heterogeneity is modest and not uniform across commodities. Market tightness provides stronger evidence of state-dependent announcement responses, although the direction of the effect varies across markets and report types. The findings suggest that USDA announcement effects are shaped not only by surprise magnitude, but also by the precision of pre-report expectations and prevailing market conditions.