Is the Value of USDA Announcement Effects Declining over Time?

Jiahui Ying, Yu Chen and Jeffrey H. Dorfman

No 285877, 2017 Conference, April 24-25, 2017, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management

Abstract: The value of USDA reports in commodity futures markets has been intensively researched, while whether such an effect is increasing or decreasing over time has rarely been answered. Given the fact that much more diverse information is available in today’s futures market, understanding trends in the impact of USDA announcement effects is crucial for market participants. This study measures how USDA reports’ announcement impact on market volatility has changed over time in both corn and soybean futures markets by adopting a new continuous approach with time-varying coefficients added to a model of the reports’ impact. The result shows that USDA reports are still informative and influential in commodity futures markets, with a generally increasing trend in the impact of announcement effects, while there are some reports whose impact show a declining potential.

Keywords: Marketing (search for similar items in EconPapers)
Date: 2017-04
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Persistent link: https://EconPapers.repec.org/RePEc:ags:n13417:285877

DOI: 10.22004/ag.econ.285877

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