How do USDA announcements affect international commodity prices?

Andrew M. McKenzie and Yangmin Ke

Journal of Commodity Markets, 2022, vol. 28, issue C

Abstract: Our event study results show that Chinese soybean futures and to a lesser extent Chinese corn futures react to the release of World Agricultural Supply and Demand Estimate reports. Second, using a copula based Conditional Value at Risk (CoVaR) approach we find strong evidence that risk spillovers from U.S. to Chinese futures markets are much larger on report release days than on pre and post-release days. In addition, our results indicate that risk spillovers from U.S. to Chinese futures markets, irrespective of trading day, are asymmetric in nature, with upside risk spillovers much higher than downside risk spillovers.

Keywords: WASDE reports; Risk spillovers; Agricultural futures markets (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2405851321000726
Full text for ScienceDirect subscribers only

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

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jocoma:v:28:y:2022:i:c:s2405851321000726

DOI: 10.1016/j.jcomm.2021.100239

Access Statistics for this article

Journal of Commodity Markets is currently edited by Marcel Prokopczuk, Betty Simkins and Sjur Westgaard

More articles in Journal of Commodity Markets from Elsevier
Bibliographic data for series maintained by Catherine Liu ().