Government Announcements Through Harvest Reports, Extreme Market Conditions, and Commodity Price Volatility

Erica Juvercina Sobrinho and Rodrigo Fernandes Malaquias ()
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Erica Juvercina Sobrinho: School of Business and Management (FAGEN), Federal University of Uberlândia (UFU), Uberlândia 38400-902, MG, Brazil
Rodrigo Fernandes Malaquias: Department of Finance, School of Business and Management (FAGEN), Federal University of Uberlândia (UFU), Uberlândia 38400-902, MG, Brazil

Commodities, 2025, vol. 4, issue 4, 1-16

Abstract: The objective of this research is to understand the relationship between the tone of information released in government harvest reports, in extreme market conditions (rising and falling), and the behavior of agricultural commodity prices. In the period between January/2017 and February/2023, an autoregressive model of moving averages was used with a generalized autoregressive conditional heteroscedasticity approach. The evidence allows us to infer that investors can, on some occasions, use this information to direct their portfolios in order to balance risk and return. However, the full impact of the tone is not reflected immediately, possibly requiring time to be absorbed. Depending on the informational weight, the commodity, and the market context, there may or may not be an impact. This divergent empirical evidence indicates that there is a complex relationship between tone reading and asset pricing.

Keywords: CONAB; USDA; return; agribusiness; tone (search for similar items in EconPapers)
JEL-codes: C0 C1 C2 C3 C4 C5 C6 C7 C8 C9 D4 E3 E6 F0 F1 F3 F4 F5 F6 G1 O1 O5 Q1 Q2 Q4 (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:gam:jcommo:v:4:y:2025:i:4:p:21-:d:1756850

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