The Value of USDA Situation and Outlook Information in Hog and Cattle Markets

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%.


Issue Date:
2006-08
Publication Type:
Journal Article
PURL Identifier:
http://purl.umn.edu/8614
Published in:
Journal of Agricultural and Resource Economics, Volume 31, Number 2
Page range:
262-282
Total Pages:
21




 Record created 2017-04-01, last modified 2017-08-23

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