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Impact of WASDE reports on implied volatility in corn and soybean markets

Citations

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Cited by:

  1. Shon Ferguson & David Ubilava, 2022. "Global commodity market disruption and the fallout," Australian Journal of Agricultural and Resource Economics, Australian Agricultural and Resource Economics Society, vol. 66(4), pages 737-752, October.
  2. Sun, Zhining & Katchova, Ani & Giri, Anil K. & Subedi, Dipak, 2024. "The Announcement Effect of MFP and CFAP on Futures Commodity Prices," 2024 Annual Meeting, July 28-30, New Orleans, LA 343895, Agricultural and Applied Economics Association.
  3. Arnade, Carlos Anthony & Hoffman, Linwood A., 2020. "The Impact of Public Information on Commodity Market Performance : The Response of Corn Futures to USDA Corn Production Forecasts," 2020 Annual Meeting, July 26-28, Kansas City, Missouri 304181, Agricultural and Applied Economics Association.
  4. Cao, An N.Q. & Heckelei, Thomas & Ionici, Octavian & Robe, Michel A., 2024. "USDA reports affect the stock market, too," Journal of Commodity Markets, Elsevier, vol. 34(C).
  5. López, Raquel, 2018. "The behaviour of energy-related volatility indices around scheduled news announcements: Implications for variance swap investments," Energy Economics, Elsevier, vol. 72(C), pages 356-364.
  6. Raghav Goyal & Michael K. Adjemian, 2023. "Information rigidities in USDA crop production forecasts," American Journal of Agricultural Economics, John Wiley & Sons, vol. 105(5), pages 1405-1425, October.
  7. McKenzie, Andrew M. & Ke, Yangmin, 2022. "How do USDA announcements affect international commodity prices?," Journal of Commodity Markets, Elsevier, vol. 28(C).
  8. Xiao, Jinzhi, 2015. "Essays on the forecasts of ending stocks," ISU General Staff Papers 201501010800005902, Iowa State University, Department of Economics.
  9. Andrew M. McKenzie & Jessica L. Darby, 2017. "Information Content of USDA Rice Reports and Price Reactions of Rice Futures," Agribusiness, John Wiley & Sons, Ltd., vol. 33(4), pages 552-568, September.
  10. Roberto Andreotti Bodra & Afonso De Campos Pint, 2014. "Modelo De Volatilidade Estocástica Com Saltos Aplicado A Commodities Agrícolas," Anais do XLI Encontro Nacional de Economia [Proceedings of the 41st Brazilian Economics Meeting] 142, ANPEC - Associação Nacional dos Centros de Pós-Graduação em Economia [Brazilian Association of Graduate Programs in Economics].
  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. Tianyang Zhang & Ziran Li, 2022. "Can a rational expectation storage model explain the USDA ending grain stocks forecast errors?," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(3), pages 313-337, March.
  13. Isengildina-Massa, Olga & Cao, Xiang & Karali, Berna & Irwin, Scott H. & Adjemian, Michael & Johansson, Robert C., 2021. "When does USDA information have the most impact on crop and livestock markets?," Journal of Commodity Markets, Elsevier, vol. 22(C).
  14. An N. Q. Cao & Michel A. Robe, 2022. "Market uncertainty and sentiment around USDA announcements," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 42(2), pages 250-275, February.
  15. Adjemian, Michael K. & Bruno, Valentina & Robe, Michel A. & Wallen, Jonathan, 2017. "What Drives Volatility Expectations in Grain and Oilseed Markets?," 2017 Annual Meeting, July 30-August 1, Chicago, Illinois 258452, Agricultural and Applied Economics Association.
  16. Sun, Zhining & Katchova, Ani, 2024. "Herding in the WASDE," 2024 Annual Meeting, July 28-30, New Orleans, LA 344064, Agricultural and Applied Economics Association.
  17. Bozic, Marin & Fortenbery, T. Randall, 2011. "Pricing Options on Commodity Futures: The Role of Weather and Storage," 2011 Annual Meeting, July 24-26, 2011, Pittsburgh, Pennsylvania 103638, Agricultural and Applied Economics Association.
  18. Covindassamy, Genevre & Robe, Michel A. & Wallen, Jonathan, 2016. "Sugar With Your Coffee?: Financials, Fundamentals, and Soft Price Uncertainty," IDB Publications (Working Papers) 8588, Inter-American Development Bank.
  19. 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.
  20. Nathan Kauffman, 2013. "Have extended trading hours made agricultural commodity markets riskier?," Economic Review, Federal Reserve Bank of Kansas City, issue Q III, pages 67-94.
  21. Marin Bozic, 2010. "Pricing Options on Commodity Futures: The Role of Weather and Storage," Working Papers 1003, The Institute of Economics, Zagreb.
  22. Lusk, Jayson L., 2016. "From Farm Income to Food Consumption: Valuing USDA Data Products," C-FARE Reports 266593, Council on Food, Agricultural, and Resource Economics (C-FARE).
  23. Goyal, Raghav & Adjemian, Michael K., 2022. "Information Rigidities in USDA Forecasts," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322339, Agricultural and Applied Economics Association.
  24. Bunek, Gabriel D. & Janzen, Joseph P., 2024. "Does public information facilitate price consensus? Characterizing USDA announcement effects using realized volatility," Journal of Commodity Markets, Elsevier, vol. 33(C).
  25. Cao, An N.Q. & Ionici, Octavian & Robe, Michel A., 2022. "USDA Announcements and the Stock Prices of Food-Sector Companies," 2022 Annual Meeting, July 31-August 2, Anaheim, California 322062, Agricultural and Applied Economics Association.
  26. Capitani, Daniel H D & Mattos, Fabio L. & Cruz, Jose Cesar & Silva, Renato Moraes & Franco Da Silveira, Rodrigo Lanna, 2024. "The Reaction Of Corn Futures Prices To U.S. And Brazilian Crop Reports," 2024 Annual Meeting, July 28-30, New Orleans, LA 343571, Agricultural and Applied Economics Association.
  27. Lihong Lu McPhail & Bruce A. Babcock, 2008. "Short-Run Price and Welfare Impacts of Federal Ethanol Policies," Center for Agricultural and Rural Development (CARD) Publications 08-wp468, Center for Agricultural and Rural Development (CARD) at Iowa State University.
  28. Adrian Fernandez‐Perez & Raquel López, 2023. "The effect of macroeconomic news announcements on the implied volatility of commodities: The role of survey releases," Journal of Futures Markets, John Wiley & Sons, Ltd., vol. 43(11), pages 1499-1530, November.
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