What do we know about the value and market impact of the US Department of Agriculture reports?

Abstract

The purpose of this paper is to comprehensively review the literature on the value and impact of the US Department of Agriculture (USDA) reports and discuss theoretical issues and empirical evidence. Only a handful of studies provide direct estimates of the welfare benefits of USDA information using a rational expectations framework in storable commodity markets. Most studies examine partial evidence of welfare benefits associated with market response to USDA information. These studies include examinations of the impacts of USDA report releases on cash and futures price volatility and other market dynamics, impacts of report releases on options implied volatility, impacts of unanticipated information in USDA reports, as well as informational value, returns, and survey‐based studies. We discuss the methodological and empirical contributions of these studies as well as their shortcomings and potential opportunities for future work.

Grain Futures Market Response to the Black Sea Grain Initiative

“…Previous studies have examined internal drivers, such as market participants and traders (Williams and Wright, 1991;Gorton, Hayashi and Rouwenhorst, 2013;Fama and French, 2016), and external influences, which include economic and geopolitical factors (Bailey and Chan, 1993;Hess, Huang and Niessen, 2008). Additionally, studies have explored the relationship between commodity futures prices and investment portfolios (Erb and Harvey, 2006;Gorton and Rouwenhorst, 2006), USDA reports (Huang, Serra and Garcia, 2021;Massa, Karali and Irwin, 2023), market patterns (Decoster, Labys and Mitchell, 1992;Chinn and Coibion, 2014), and market efficiency (Kellard et al, 1999;Kristoufek and Vosvrda, 2014;Kuruppuarachchi, Lin and Premachandra, 2019). Some researchers have focused explicitly on grain futures prices, mainly studying the implications of market speculation and its determinants (e.g., Sanders, Irwin and Merrin, 2010;Karali and Thurman, 2010;Etienne, Irwin and Garcia, 2015).…”