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Can Satellite Data Forecast Valuable Information from USDA Reports ? Evidences on Corn Yield Estimates

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  • Pierrick Piette

    (LSAF - Laboratoire de Sciences Actuarielle et Financière - UCBL - Université Claude Bernard Lyon 1 - Université de Lyon, LPSM (UMR_8001) - Laboratoire de Probabilités, Statistique et Modélisation - UPD7 - Université Paris Diderot - Paris 7 - SU - Sorbonne Université - CNRS - Centre National de la Recherche Scientifique)

Abstract

On the one hand, recent advances in satellite imagery and remote sensing allow one to easily follow in near-real time the crop conditions all around the world. On the other hand, it has been shown that governmental agricultural reports contain useful news for the commodities market, whose participants react to this valuable information. In this paper, we investigate wether one can forecast some of the newsworthy information contained in the USDA reports through satellite data. We focus on the corn futures market over the period 2000-2016. We first check the well-documented presence of market reactions to the release of the monthly WASDE reports through statistical tests. Then we investigate the informational value of early yield estimates published in these governmental reports. Finally, we propose an econometric model based on MODIS NDVI time series to forecast this valuable information. Results show that market rationally reacts to the NASS early yield forecasts. Moreover, the modeled NDVI-based information is signicantly correlated with the market reactions. To conclude, we propose some ways of improvement to be considered for a practical implementation.

Suggested Citation

  • Pierrick Piette, 2019. "Can Satellite Data Forecast Valuable Information from USDA Reports ? Evidences on Corn Yield Estimates," Post-Print hal-02149355, HAL.
    • Handle: RePEc:hal:journl:hal-02149355
    Note: View the original document on HAL open archive server: https://hal.science/hal-02149355v1
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    References listed on IDEAS

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    1. Lehecka, Georg V., 2014. "The Value of USDA Crop Progress and Condition Information: Reactions of Corn and Soybean Futures Markets," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 39(01), pages 1-18, April.
    2. Daniel A. Summer & Rolf A. E. Mueller, 1989. "Are Harvest Forecasts News? USDA Announcements and Futures Market Reactions," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 71(1), pages 1-8.
    3. 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.
    4. Karali, Berna & Isengildina-Massa, Olga & Irwin, Scott H. & Adjemian, Michael K. & Johansson, Robert, 2019. "Are USDA reports still news to changing crop markets?," Food Policy, Elsevier, vol. 84(C), pages 66-76.
    5. Andrew M. McKenzie, 2008. "Pre-Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 90(2), pages 351-366.
    Full references (including those not matched with items on IDEAS)

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