 Do USDA Announcements Affect the Correlations Across Commodity Futures Returns?Berna Karali and ChangKeun Park No 285321, 2010 Conference, April 19-20, 2010, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management Abstract: The value of USDA reports has long been a question of interest for researchers and practitioners. Many economists have investigated whether the scheduled public report releases have any impact on commodity prices. In general, it is shown that markets are e±cient; that is, prices move only when the reports contain news". However, the impact of announcements on the correlations among related commodity prices has not been explored outside of ¯nancial asset markets. The purpose of this study is to simul- taneously measure the impact of selected USDA reports on the conditional variances and covariances of returns on related commodity futures contracts using a bivariate GARCH model. It is shown that several of the reports considered contain new informa- tion for the market participants as futures return volatilities and correlations between the returns are found to move on announcement days. The largest movements in return volatilities are observed on days with Grain Stocks, Hogs and Pigs, Livestock, Dairy, and Poultry Outlook, and WASDE releases. Keywords: Marketing (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:ags:nccc10:285321 Access Statistics for this paper More papers in 2010 Conference, April 19-20, 2010, St. Louis, Missouri from NCR-134/ NCCC-134 Applied Commodity Price Analysis, Forecasting, and Market Risk Management |
Is your work missing from RePEc? Here is how to contribute.
Questions or problems? Check the EconPapers FAQ or send mail to .
EconPapers is hosted by the
School of Business at Örebro University.