The Impact of Measurement Error on Estimates of the Price Reaction to USDA Crop Reports
This paper investigates the impact of USDA crop production reports in corn and soybean futures markets. The analysis is based on all corn and soybean production reports released over 1970-2006. The empirical analysis compares the typical OLS event study approach to the new Identification by Censoring (ITC) technique. Corn and soybean production reports are analyzed both separately and together for impact in corn and soybean futures prices. ITC proves to be the more useful method because it avoids the pitfalls of errors in variables that cause downward bias in OLS coefficients. Price reaction coefficients estimated via ITC are one to four times larger than OLS estimates for a one price and one event analysis. In the two price, two event case, ITC estimates are one to six times larger. Market reaction to the unanticipated information in USDA forecasts is substantially larger than estimated in previous studies.
|Date of creation:||Apr 2007|
|Date of revision:|
|Contact details of provider:|| Postal: 326 Mumford Hall, MC-710, 1301 West Gregory Drive, Urbana, Illinois, 61801|
Phone: (217) 333-1810
Fax: (217) 333-5538
Web page: http://www.farmdoc.uiuc.edu/nccc134/
More information through EDIRC
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Good, Darrel L. & Irwin, Scott H., 2006. "Understanding USDA Corn and Soybean Production Forecasts: Methods, Performance and Market Impacts over 1970 - 2005," AgMAS Project Research Reports 37514, University of Illinois at Urbana-Champaign, Department of Agricultural and Consumer Economics.
- Egelkraut, Thorsten M. & Garcia, Philip & Irwin, Scott H. & Good, Darrel L., 2003. "An Evaluation of Crop Forecast Accuracy for Corn and Soybeans: USDA and Private Information Agencies," Journal of Agricultural and Applied Economics, Southern Agricultural Economics Association, vol. 35(01), April.
- Orazem, Peter & Baur, Robert F., 1994. "The Rationality and Price Effects of Usda Forecasts of Oranges," Staff General Research Papers Archive 11133, Iowa State University, Department of Economics.
- Roberto Rigobon & Brian Sack, 2008.
"Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices,"
in: Asset Prices and Monetary Policy, pages 335-370
National Bureau of Economic Research, Inc.
- Roberto Rigobon & Brian Sack, 2006. "Noisy Macroeconomic Announcements, Monetary Policy, and Asset Prices," NBER Working Papers 12420, National Bureau of Economic Research, Inc.
- Falk, Barry L. & Orazem, Peter, 1989. "Measuring Market Responses to Error-Ridden Government Announcements," Staff General Research Papers Archive 11096, Iowa State University, Department of Economics.
- Isengildina, Olga & Irwin, Scott H. & Good, Darrel L., 2004.
"Are Revisions To Usda Crop Production Forecasts Smoothed?,"
2004 Conference, April 19-20, 2004, St. Louis, Missouri
19027, NCR-134 Conference on Applied Commodity Price Analysis, Forecasting, and Market Risk Management.
- Olga Isengildina & Scott H. Irwin & Darrel L. Good, 2006. "Are Revisions to USDA Crop Production Forecasts Smoothed?," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 88(4), pages 1091-1104.
- Garcia, Philip & Irwin, Scott H. & Leuthold, Raymond M. & Yang, Li, 1997. "The value of public information in commodity futures markets," Journal of Economic Behavior & Organization, Elsevier, vol. 32(4), pages 559-570, April.
- Carter, Colin A., 1999. "Commodity futures markets: a survey," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 43(2).
When requesting a correction, please mention this item's handle: RePEc:ags:nccsci:37579. See general information about how to correct material in RePEc.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (AgEcon Search)
If references are entirely missing, you can add them using this form.