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The Impact of Situation and Outlook Information in Corn and Soybean Futures Markets: Evidence from WASDE Reports

Published online by Cambridge University Press:  26 January 2015

Olga Isengildina-Massa ,
Scott H. Irwin ,
Darrel L. Good  and
Jennifer K. Gomez
Olga Isengildina-Massa
Affiliation:
Department of Applied Economics andStatistics at Clemson University, SC
Scott H. Irwin
Affiliation:
Department of Agricultural andConsumer Economics at the Universityof Illinois at Urbana-Champaign, IL
Darrel L. Good
Affiliation:
Department of Agricultural andConsumer Economics at the Universityof Illinois at Urbana-Champaign, IL
Jennifer K. Gomez
Affiliation:
Department of Agricultural andConsumer Economics at the Universityof Illinois at Urbana-Champaign, IL
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Abstract

The purpose of this study was to examine the impact of situation and outlook information from World Agricultural Supply and Demand Estimates (WASDE) in corn and soybean futures markets over the period 1985 to 2006. Results indicate that WASDE reports containing National Agricultural Statistics Service (NASS) crop production estimates and other domestic and international situation and outlook information have the largest impact; causing return variance on report sessions to be 7.38 times greater than normal return variance in corn futures and 6.87 times greater than normal return variance in soybean futures. WASDE reports limited to international situation information and domestic and international outlook information have a smaller impact. The results show that the impact of WASDE reports has increased over time.

Keywords

cornmarket impactoutlooksituationsoybeansWASDEQ100Q110Q130
Type
Articles
Information
Journal of Agricultural and Applied Economics , Volume 40 , Issue 1 , April 2007 , pp. 89 - 103
Copyright
Copyright © Southern Agricultural Economics Association 2008

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