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The Value of Public Information in Storable Commodity Markets: Application to the Soybean Market

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  • Gouel, Christophe

Abstract

This study provides a framework to estimate the potential effects and benefits of the provision of market information in storable commodity markets. This framework is applied to the case of production forecasts for the soybean market. A rational expectations storage model of the global soybean market accounting for both inter-annual and intra-annual market dynamics is built. Shocks that occur between planting and harvesting affect the size of the potential harvest. Estimates of the size of these shocks are reported publicly, and affect the market equilibrium through adjustments to stock levels. By varying counterfactually the observability of seasonal shocks, we can estimate the efficiency gains related to the availability of advance information. They are equivalent to 2% of storage costs; the reduction of stock levels being the main channel explaining the welfare gains. The presence of advance information has a limited effect on inter-annual price volatility but redistributes price volatility during the season, increasing it just before harvest when almost all news has been received and stocks are tight, and decreasing it after harvest. The effect of news shocks is stronger on higher-order moments of the distribution with a strong decrease in skewness and kurtosis related to the lower frequency of price spikes.

Suggested Citation

  • Gouel, Christophe, 2018. "The Value of Public Information in Storable Commodity Markets: Application to the Soybean Market," 2018 Conference, April 16-17, 2018, Minneapolis, Minnesota 285893, NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
    • Handle: RePEc:ags:n13418:285893
    DOI: 10.22004/ag.econ.285893
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    2. Nicolas Legrand, 2023. "War in Ukraine: The rational “wait‐and‐see” mode of global food markets," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 45(2), pages 626-644, June.
    3. Tianyang Zhang & Ziran Li, 2022. "Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 313-337, March.
    4. Christophe Gouel & Nicolas Legrand, 2025. "The role of storage in commodity markets: Indirect inference based on grain data," Quantitative Economics, Econometric Society, vol. 16(2), pages 705-747, May.
    5. Cai, Yan & Li, Yanyun & Lin, Faqin & Yan, Wenshou, 2025. "The direct and indirect effects of trade policy uncertainty on the volatility of world agricultural prices," Journal of Asian Economics, Elsevier, vol. 100(C).
    6. Olga Isengildina Massa & Berna Karali & Scott H. Irwin, 2024. "What do we know about the value and market impact of the US Department of Agriculture reports?," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 46(2), pages 698-736, June.
    7. Bunek, Gabriel D. & Janzen, Joseph P., 2024. "Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility," Journal of Commodity Markets, Elsevier, vol. 33(C).
    8. Armand Fréjuis Akpa & Insa Sané & Sekou Keita, 2025. "Effect of climate vulnerability on agricultural commodities export in sub-Saharan Africa: an heterogeneous effect based on integration zones," SN Business & Economics, Springer, vol. 5(7), pages 1-24, July.
    9. Kang, Minseong & Lee, Seungki, 2025. "Navigating the Soybean Market Shift: River Transport as a Lens on the Renewable Diesel Boom," 2025 AAEA & WAEA Joint Annual Meeting, July 27-29, 2025, Denver, CO 360603, Agricultural and Applied Economics Association.
    10. Ferguson, Shon & Ubilava, David, 2022. "Global commodity market disruption and the fallout," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(04), January.
    11. repec:hal:wpaper:hal-02149355 is not listed on IDEAS

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