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Journal of Agricultural and Resource Economics >
Volume 31, Number 02, August 2006 >
Please use this identifier to cite or link to this item:
http://purl.umn.edu/8614
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| Title: | The Value of USDA Situation and Outlook Information in Hog and Cattle Markets |
| Authors: | Good, Darrel L.
Irwin, Scott H.
Isengildina, Olga |
| Keywords: | cattle
event study
hogs
livestock
public information
TARCH model
USDA reports |
| Issue Date: | 2006-08 |
| Abstract: | This study investigates the impact of six major USDA reports in hog and cattle markets: Cattle; Cattle on Feed; Cold Storage; Hogs and Pigs; Livestock, Dairy, and Poultry Outlook (LDPO); and World Agricultural Supply and Demand Estimates (WASDE). A TARCH-in-mean model, with dummy variables to measure the impact of USDA reports and other external factors, is used to model close-to-open live-lean hog and live cattle futures returns from January 1985 through December 2004. The analysis revealed a statistically significant impact of all but Cattle and Cold Storage reports in live/lean hog futures, and all but Cold Storage reports in live cattle futures. Hogs and Pigs reports had the highest impact on live/lean hog returns by increasing conditional standard deviation 96%. Cattle, Cattle on Feed, and Hogs and Pigs reports had the highest impact on live cattle returns by increasing conditional standard deviation between 26% and 37.5%. |
| URI: | http://purl.umn.edu/8614 |
| Institution/Association: | Journal of Agricultural and Resource Economics>Volume 31, Number 02, August 2006 |
| Total Pages: | 21 |
| Language: | English |
| From Page: | 262 |
| To Page: | 282 |
| Collections: | Volume 31, Number 02, August 2006
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| 31020262.pdf | 921Kb | PDF | View/Open |
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