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

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 Servi...

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Bibliographic Details
Published in:Journal of agricultural and applied economics 2008-04, Vol.40 (1), p.89-103
Main Authors: Isengildina-Massa, Olga, Irwin, Scott H., Good, Darrel L., Gomez, Jennifer K.
Format: Article
Language:English
Subjects:
corn
market impact
outlook
Q100
Q110
Q130
situation
soybeans
WASDE
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Summary: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.
ISSN:1074-0708
2056-7405
1074-0708
DOI:10.1017/S1074070800027991