Pre-Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures

Andrew M. McKenzie

American Journal of Agricultural Economics, 2008, vol. 90, issue 2, pages 351-366

Abstract: This article examines the puzzle of why futures prices continue to react to USDA crop reports despite the fact that reports appear to be no longer "newsworthy," that is, provide no better production estimates than private forecasts. The information value of reports is measured in terms of their influence on rational agents' harvest-time corn price expectations, which are uncovered using a Hamilton-type modeling approach. Results show that reports are still "newsworthy," as they would contribute to agents' price expectations if released a day early. Thus futures price reactions, which closely reflect price expectations, are rational and consistent with efficient markets hypothesis. Copyright ©2007 American Agricultural Economics Association.

Downloads: (external link)
http://www.blackwell ... &year=2008&part=null link to full text (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Ordering information: This journal article can be ordered from
http://www.blackwell ... bs.asp?ref=0002-9092

Access Statistics for this article

American Journal of Agricultural Economics is edited by Peter Berck, Robert J. Myers, Ian M. Sheldon and B. Wade Brorsen

More articles in American Journal of Agricultural Economics from American Agricultural Economics Association
Series data maintained by Christopher F. Baum ().