Surprise and dispersion: informational impact of USDA announcements

Fernández-Pérez, Adrián; Frijns, Bart; Indriawan, Ivan; Tourani‐Rad, Alireza

doi:10.1111/agec.12470

Cited by 12 publications

(3 citation statements)

References 36 publications

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“…Dispersion D i,j . For each forecasted piece of information, we follow prior work—see, for example, Fernandez‐Perez et al (2019) and references cited therein—and calculate dispersion as the ratio of the interquartile range (IQR) to the mean forecast:

D_{i, j} = italicIQ R_{i, j} / μ_{i, j} .

…”

Section: Methodsmentioning

confidence: 99%

Market uncertainty and sentiment around USDA announcements

Cao

Robe

2021

Journal of Futures Markets

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We investigate forward‐looking commodity price volatility expectations (proxied by option‐implied volatilities or IVols) around scheduled US Department of Agriculture (USDA) reports. We show that corn and soybean IVols are significantly lower for several trading days after a report. The IVol response to a release depends on agricultural market experts' disagreement and sentiment before the USDA report, and on the extent to which the USDA information surprises the market. Whereas commodity IVols are generally positively related to financial‐market sentiment and macroeconomic uncertainty (jointly captured by the volatility index [VIX]), this comovement breaks down on report days—with the VIX and commodity IVols moving in opposite directions.

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D_{i, j} = italicIQ R_{i, j} / μ_{i, j} .

…”

Section: Methodsmentioning

confidence: 99%

Market uncertainty and sentiment around USDA announcements

Cao

Robe

2021

Journal of Futures Markets

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“…Unlike their counterparts in finance and accounting, only a small number of agricultural economics studies control for market participants' expectations, uncertainty, or sentiment prior to a USDA releases. Two recent exceptions- and (Fernandez-Perez et al 2019)focus on the event-day responses of either prices or intraday bid-ask spreads, not of volatility.…”

Section: Pre-existing Commodity Market Beliefs and Ivol Response To Umentioning

confidence: 99%

Market Uncertainty and Sentiment Around Usda Announcements

Cao

Robe

2020

SSRN Journal

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We examine empirically the impact of scheduled USDA information releases on uncertainty and sentiment in grains and oilseeds markets. We document that, for up to five trading days after the release of a scheduled USDA report (WASDE, stocks, prospective plantings, and acreage), agricultural option-implied (forwardlooking) volatilities are significantly lower than they were a week before the release. These reports' uncertainty-resolution power is similar in magnitude in the corn, soybeans, and wheat markets. In the case of WASDE, the implied volatility drops more when there had been greater disagreement among market experts in the run-up to a report. For corn and beans (but not wheat), the implied volatility drop following a WASDE or a grain stock report is smaller when the USDA information surprises the market. Except for wheat, we find little evidence that the tightness of grain inventories prior to a USDA report affects the market's reaction. Finally, we show that contemporaneous changes in broad financial-market sentiment and macroeconomic uncertainty (jointly captured by the VIX event-day return) affects the extent to which agricultural markets respond to the USDA report.

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“…The US Department of Agriculture (USDA) spends millions of dollars each year to collect, process, and disseminate to society information on agricultural production and markets. Farmers, agribusiness, and traders use this information for decision making and risk abatement, with demonstrated economic benefits and impacts on agricultural futures markets ( 1 – 8 ). Government agencies and research institutions also use this information for planning and research purposes, especially the world agricultural supply and demand estimates (WASDE), prospective planting and prospective acreage, crop production forecasts, or grain stocks reports.…”

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confidence: 99%

Qualitative crop condition survey reveals spatiotemporal production patterns and allows early yield prediction

Beguería

Maneta

2020

Proc. Natl. Acad. Sci. U.S.A.

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Large-scale continuous crop monitoring systems (CMS) are key to detect and manage agricultural production anomalies. Current CMS exploit meteorological and crop growth models, and satellite imagery, but have underutilized legacy sources of information such as operational crop expert surveys with long and uninterrupted records. We argue that crop expert assessments, despite their subjective and categorical nature, capture the complexities of assessing the “status” of a crop better than any model or remote sensing retrieval. This is because crop rating data naturally encapsulates the broad expert knowledge of many individual surveyors spread throughout the country, constituting a sophisticated network of “people as sensors” that provide consistent and accurate information on crop progress. We analyze data from the US Department of Agriculture (USDA) Crop Progress and Condition (CPC) survey between 1987 and 2019 for four major crops across the US, and show how to transform the original qualitative data into a continuous, probabilistic variable better suited to quantitative analysis. Although the CPC reflects the subjective perception of many surveyors at different locations, the underlying models that describe the reported crop status are statistically robust and maintain similar characteristics across different crops, exhibit long-term stability, and have nation-wide validity. We discuss the origin and interpretation of existing spatial and temporal biases in the survey data. Finally, we propose a quantitative Crop Condition Index based on the CPC survey and demonstrate how this index can be used to monitor crop status and provide earlier and more precise predictions of crop yields than official USDA forecasts released midseason.

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Surprise and dispersion: informational impact of USDA announcements

Cited by 12 publications

References 36 publications

Market uncertainty and sentiment around USDA announcements

Market uncertainty and sentiment around USDA announcements

Market Uncertainty and Sentiment Around Usda Announcements

Qualitative crop condition survey reveals spatiotemporal production patterns and allows early yield prediction

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