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| Good, Darrel L.; Irwin, Scott H.; Isengildina, Olga. |
| 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... |
| Tipo: Journal Article |
Palavras-chave: Cattle; Event study; Hogs; Livestock; Public information; TARCH model; USDA reports; Livestock Production/Industries; Marketing. |
| Ano: 2006 |
URL: http://purl.umn.edu/8614 |
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| Karali, Berna. |
| 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... |
| Tipo: Article |
Palavras-chave: Announcement effects; Futures markets; Market efficiency; Multivariate GARCH; USDA reports; Agricultural Finance; Financial Economics; Political Economy. |
| Ano: 2012 |
URL: http://purl.umn.edu/122315 |
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