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USDA Announcement Effects are Asymmetric and Nonlinear

Author

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  • Shubitidze, Erekle
  • Adjemian, Michael
  • Dorfman, Jeffrey

Abstract

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.

Suggested Citation

  • Shubitidze, Erekle & Adjemian, Michael & Dorfman, Jeffrey, 2026. "USDA Announcement Effects are Asymmetric and Nonlinear," 2026 Annual Meeting, July 26 - 28, 2026, Kansas City, Missouri 404353, Agricultural and Applied Economics Association.
    • Handle: RePEc:ags:aaea26:404353
    DOI: 10.22004/ag.econ.404353
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    References listed on IDEAS

    as
    1. Michael K Adjemian & Scott H Irwin, 2018. "USDA Announcement Effects in Real-Time," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 100(4), pages 1151-1171.
    2. Isengildina-Massa, Olga & Cao, Xiang & Karali, Berna & Irwin, Scott H. & Adjemian, Michael & Johansson, Robert C., 2021. "When does USDA information have the most impact on crop and livestock markets?," Journal of Commodity Markets, Elsevier, vol. 22(C).
    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. Isengildina-Massa, Olga & Irwin, Scott H. & Good, Darrel L. & Gomez, Jennifer K., 2008. "The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports," Journal of Agricultural and Applied Economics, Cambridge University Press, vol. 40(1), pages 89-103, April.
    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. Adjemian, Michael K. & Irwin, Scott H., 2020. "The market response to government crop news under different release regimes," Journal of Commodity Markets, Elsevier, vol. 19(C).
    7. Dorfmann, Jeffrey & Karali, Berna, 2015. "A Nonparametric Search for Information Effects from USDA Reports," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 40(01), pages 1-20.
    8. repec:cup:jagaec:v:40:y:2008:i:1:p:89-103_6 is not listed on IDEAS
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