IDEAS home Printed from https://ideas.repec.org/p/ags/n13414/285821.html

How Do Agricultural Futures Prices Respond To New Information About Drought Conditions?

Author

Listed:
  • Brooks, Kathleen
  • Mattos, Fabio

Abstract

This study tests whether information provided by the U.S. Drought Monitor impacted futures prices for commodities between 2000 and 2012. Results based on the November futures prices for soybeans indicate that there is a statistically significant difference in mean and variance of absolute percentage price changes between days when the Drought Monitor is released and other days. Further analysis suggests that the effect of the Drought Monitor information varies during the year. In particular, absolute percentage price changes are generally smaller on report days than on non-report days during the winter and spring, but are larger on report days than on non-report days during the summer. Finally, focusing on the impact on prices of the magnitude of drought conditions, there is evidence that larger areas under extreme drought conditions lead to larger absolute price changes.

Suggested Citation

  • Brooks, Kathleen & Mattos, Fabio, 2014. "How Do Agricultural Futures Prices Respond To New Information About Drought Conditions?," 2014 Conference, April 21-22, 2014, St. Louis, Missouri 285821, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:n13414:285821
    DOI: 10.22004/ag.econ.285821
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/285821/files/Brooks_Mattos_Schoengold_NCCC-134_2014.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.285821?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    More about this item

    Keywords

    ;

    Statistics

    Access and download statistics

    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:n13414:285821. See general information about how to correct material in RePEc.

    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.

    We have no bibliographic references for this item. You can help adding them by using 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.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://www.farmdoc.illinois.edu/nccc134/ .

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

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.