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A Nonparametric Search for Information Effects from USDA Reports

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  • Dorfmann, Jeffrey
  • Karali, Berna

Abstract

Two nonparametric tests are employed to investigate the potential information value of USDA crop and livestock reports. If daily returns on days that reports are released (announcement days) differ when compared to non-announcement days for a sizeable number of commodities from a set of seven futures markets studied, we deem the report to contain market-moving information. The question of report value has been unsettled in the literature with results varying somewhat across studies and across reports. This study finds market-moving value in five of the USDA reports investigated, with six other reports showing little or no market-moving value in the markets examined. While most of our results confirm and add robustness to earlier results, there are some differences both for certain reports and certain commodities.

Suggested Citation

  • Dorfmann, Jeffrey & Karali, Berna, 2015. "A Nonparametric Search for Information Effects from USDA Reports," Journal of Agricultural and Resource Economics, Western Agricultural Economics Association, vol. 40(1), pages 1-20.
    • Handle: RePEc:ags:jlaare:197380
    DOI: 10.22004/ag.econ.197380
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    Cited by:

    1. Yan, Lei & Irwin, Scott H. & Sanders, Dwight R., 2017. "Identifying the Impact of Financialization in Commodity Futures Prices from Index Rebalancing," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258504, Agricultural and Applied Economics Association.
    2. Ying, Jiahui & Shonkwiler, J. Scott, 2017. "A Temporal Impact Assessment Method for the Informational Content of USDA Reports in Corn and Soybean Futures Markets," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258201, Agricultural and Applied Economics Association.
    3. Berna Karali & Scott H. Irwin & Olga Isengildina‐Massa, 2020. "Supply Fundamentals and Grain Futures Price Movements," American Journal of Agricultural Economics, John Wiley & Sons, vol. 102(2), pages 548-568, March.
    4. Karali, Berna & Isengildina-Massa, Olga & Irwin, Scott H. & Adjemian, Michael K. & Johansson, Robert, 2019. "Are USDA reports still news to changing crop markets?," Food Policy, Elsevier, vol. 84(C), pages 66-76.
    5. Paolo Figini & Simona Cicognani & Lorenzo Zirulia, 2023. "Booking in the Rain. Testing the Impact of Public Information on Prices," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 9(3), pages 1329-1364, November.
    6. Olga Isengildina Massa & Berna Karali & Scott H. Irwin, 2024. "What do we know about the value and market impact of the US Department of Agriculture reports?," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 46(2), pages 698-736, June.
    7. Jesse Tack & Keith H. Coble & Robert Johansson & Ardian Harri & Barry J. Barnett, 2019. "The Potential Implications of “Big Ag Data” for USDA Forecasts," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 41(4), pages 668-683, December.
    8. Zhepeng Hu & Mindy Mallory & Teresa Serra & Philip Garcia, 2020. "Measuring price discovery between nearby and deferred contracts in storable and nonstorable commodity futures markets," Agricultural Economics, International Association of Agricultural Economists, vol. 51(6), pages 825-840, November.
    9. Siddhartha S. Bora & Ani L. Katchova & Todd H. Kuethe, 2021. "The Rationality of USDA Forecasts under Multivariate Asymmetric Loss," American Journal of Agricultural Economics, John Wiley & Sons, vol. 103(3), pages 1006-1033, May.
    10. Cao, An N.Q. & Gebrekidan, Bisrat Haile & Heckelei, Thomas & Robe, Michel A., 2022. "County-level USDA Crop Progress and Condition data, machine learning, and commodity market surprises," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322281, Agricultural and Applied Economics Association.
    11. Dominik Boos, 2024. "Risky times: Seasonality and event risk of commodities," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 44(5), pages 767-783, May.
    12. Pierrick Piette, 2019. "Can Satellite Data Forecast Valuable Information from USDA Reports ? Evidences on Corn Yield Estimates," Working Papers hal-02149355, HAL.
    13. Adjemian, Michael K. & Arnade, Carlos Anthony, 2017. "Not Lost in Translation: The Impact of USDA Reports on International Corn Markets," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258362, Agricultural and Applied Economics Association.
    14. Zhou, Xinquan & Bagnarosa, Guillaume & Gohin, Alexandre & Pennings, Joost M.E. & Debie, Philippe, 2023. "Microstructure and high-frequency price discovery in the soybean complex," Journal of Commodity Markets, Elsevier, vol. 30(C).

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