Do USDA Reports Contribute to Extreme Price Volatility? The Case of the Soybean Complex

USDA reports are publicly available and provide important fundamental information on agricultural commodities. An extensive literature finds evidence of price or volatility spikes following USDA report releases, especially for major crops. These crops are not only used for direct consumption, but also serve as intermediate goods in the production of other products. This study focuses on the joint occurrence of extreme price volatility in commodity markets linked in a supply chain on report release days. We investigate the commodities in the soybean complex and use an ordinal logistic model to investigate whether the releases of USDA reports increase the probability of joint occurrence of extreme events. After controlling for other sources, such as releases of macroeconomic reports, we find that the USDA reports released in March have the largest impact on the joint occurrence of extreme volatility in all three markets.