@article{Karali:122315,
      recid = {122315},
      author = {Karali, Berna},
      title = {Do USDA Announcements Affect Comovements Across Commodity  Futures Returns?},
      journal = {Journal of Agricultural and Resource Economics},
      address = {2012-04},
      number = {1835-2016-149421},
      pages = {21},
      year = {2012},
      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.},
      url = {http://ageconsearch.umn.edu/record/122315},
      doi = {https://doi.org/10.22004/ag.econ.122315},
}