Are USDA reports still news to changing crop markets?

Berna Karali, Olga Isengildina-Massa, Scott H. Irwin, Michael Adjemian and Robert Johansson
Authors registered in the RePEc Author Service: Olga Isengildina Massa

Food Policy, 2019, vol. 84, issue C, 66-76

Abstract: This study investigates whether major USDA reports still provide important news to changing crop markets. The news component of each report, or market “surprise,” is measured as a difference between the USDA estimate and its private expectation in corn, soybeans, and wheat markets. Changes in the relevance of USDA information are assessed by examining changes in the magnitude of market surprises and shifts in the futures price reaction to these surprises, which isolates the impact of each report. The stable size of market surprises over time suggests that competition from alternative data sources has not reduced the news component of USDA crop reports. Increasing price reaction to most reports, including those facing competition from alternative information sources, suggests that value of public information may be enhanced in uncertain markets affected by structural changes.

Keywords: Announcement effects; Big data; Crop futures; Market surprise; Price reaction; USDA reports (search for similar items in EconPapers)
JEL-codes: C32 D80 D84 G14 Q11 Q13 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (15)

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Related works:
Working Paper: Changes in Informational Value and the Market Reaction to USDA Reports in the Big Data Era (2016)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfpoli:v:84:y:2019:i:c:p:66-76

DOI: 10.1016/j.foodpol.2019.02.005

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