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USDA situation and outlook information contributes to the efficient operation of agricultural commodity markets. But, traders cannot adjust their price or uncertainty expectations to information that they do not have. In 2013, the USDA curtailed the publication of its crop report for the first time since the nineteenth century due to an appropriations lapse. We examine corn and soybean derivatives data around the scheduled October 2013 WASDE and find that markets for these commodities did not display characteristic patterns in terms of uncertainty resolution and price changes that are normally observed around scheduled USDA release times. We then construct the path that corn and soybean implied volatility would have taken if an average October report had been published. Although we do estimate significant announcement effects (in terms of uncertainty resolution and price adjustment) after the first report that was issued by USDA following the shutdown, we are unable to detect that it carried any enhanced effects.

Keywords: announcement effects ; Crop Production ; futures ; Grain Stocks ; implied volatility ; options ; shutdown ; USDA ; WASDE

Subject(s): Agribusiness

Agricultural Finance

Financial Economics

Issue Date: 2016

Publication Type: Conference Paper/ Presentation

PURL Identifier: http://purl.umn.edu/235811

Total Pages: 36

Record appears in: Agricultural and Applied Economics Association (AAEA) > 2016 Annual Meeting, July 31-August 2, Boston, Massachusetts





Autor: Adjemian, Michael K. ; Johansson, Robert ; McKenzie, Andrew ; Thomsen, Michael

Fuente: http://ageconsearch.umn.edu/record/235811?ln=en



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