AgEcon Search

AgEcon Search >
       Journal of Agricultural and Resource Economics >
          Volume 37, Number 1, April 2012 >

Please use this identifier to cite or link to this item: http://purl.umn.edu/122315

Title: Do USDA Announcements Affect Comovements Across Commodity Futures Returns?
Authors: Karali, Berna
Keywords: announcement effects
futures markets
market efficiency
multivariate GARCH
USDA reports
Issue Date: 2012-04
Abstract: The value of USDA reports has long been a question of interest for researchers and practitioners. However, the impact of announcements on comovements across related commodity prices has not been explored beyond financial asset markets. This is important because the structure of the relationship between commodities could change depending on the type of information revealed in the announcement, thus affecting price perceptions, hedging ratios, and portfolio return variance. This study simultaneously measures the impact of selected USDA reports on the conditional variances and covariances of returns on corn, lean hogs, soybeans, soybean meal, and soybean oil futures contracts using a multivariate GARCH model. It is shown that the largest movements in covariances are observed on the release days of Feed Outlook, Grain Stocks, and Hogs and Pigs reports.
URI: http://purl.umn.edu/122315
Institution/Association: Journal of Agricultural and Resource Economics>Volume 37, Number 1, April 2012
Total Pages: 21
From Page: 77
To Page: 97
Collections:Volume 37, Number 1, April 2012

Files in This Item:

File Description SizeFormat
Karali, pg.77-97.pdf289KbPDFView/Open
Recommend this item

All items in AgEcon Search are protected by copyright.

 

 

Brought to you by the University of Minnesota Department of Applied Economics and the University of Minnesota Libraries with cooperation from the Agricultural and Applied Economics Association.

All papers are in Acrobat (.pdf) format. Get Adobe Reader

Contact Us

Powered by: