Document Type
Article
Publication Date
12-2022
Keywords
WASDE reports; Risk spillovers; Agricultural futures markets
Abstract
Our event study results show that Chinese soybean futures and to a lesser extent Chinese corn futures react to the release of World Agricultural Supply and Demand Estimate reports. Second, using a copula based Conditional Value at Risk (CoVaR) approach we find strong evidence that risk spillovers from U.S. to Chinese futures markets are much larger on report release days than on pre and post-release days. In addition, our results indicate that risk spillovers from U.S. to Chinese futures markets, irrespective of trading day, are asymmetric in nature, with upside risk spillovers much higher than downside risk spillovers.
Citation
McKenzie, A. M., & Ke, Y. (2022). How do USDA Announcements Affect International Commodity Prices?. Journal of Commodity Markets, 28, 100239. https://doi.org/10.1016/j.jcomm.2021.100239
Creative Commons License
This work is licensed under a Creative Commons Attribution-NonCommercial-No Derivative Works 4.0 International License.
