The impact of the USDA soybean crop condition reports on CBOT futures prices

Q3 Social Sciences

Revista de Economia e Sociologia Rural Pub Date : 2022-07-25 DOI:10.1590/1806-9479.2022.257641

Isadora Vercesi Bethlem, R. A. Lima, L. M. D. Lima

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Abstract

Abstract: Soybean price formation in the Chicago Board of Trade (CBOT) is determined by many variables, with supply expectations being one of the most critical. The United States Department of Agriculture (USDA) publishes the Crop Progress report (CPR) weekly and, among other information, the public report contains an evaluation of current growing conditions in areas under soybean cultivation in the country. Agent awareness of crop conditions before harvest should affect their expectations of the soybean volume (supply) that will enter the market and should affect soybean futures contract prices, possibly in a predictable manner. This study is designed to examine this hypothesis by determining if the CPR’s weekly release has a predictable impact on the following day’s soybean futures contract price. Between 1995 and 2018, a 1% increase in soybean crop area evaluated as “good” and “excellent” (Condition variable) in the weekly CPR reduced soybean futures contract prices by 0.45% the day following the report’s release and vice versa, and that the price trend ramped notably upward in 2008.

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美国农业部大豆作物状况报告对芝加哥期货交易所期货价格的影响

摘要:芝加哥期货交易所(CBOT)大豆价格的形成是由许多变量决定的，其中供应预期是最关键的变量之一。美国农业部(USDA)每周出版《作物进展报告》(CPR)，除其他信息外，该公开报告还包括对该国大豆种植地区当前生长条件的评估。代理商在收获前对作物状况的了解应该会影响他们对进入市场的大豆数量(供应)的预期，并可能以可预测的方式影响大豆期货合约价格。本研究旨在通过确定CPR的每周发布是否对第二天的大豆期货合约价格具有可预测的影响来检验这一假设。1995年至2018年期间，每周CPR中被评为“良好”和“优秀”(条件变量)的大豆作物面积每增加1%，报告发布后的第二天大豆期货合约价格就会下跌0.45%，反之亦然，2008年价格趋势明显上升。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Revista de Economia e Sociologia Rural Social Sciences-Social Sciences (all)

CiteScore

1.10

自引率

0.00%

发文量

审稿时长

21 weeks

期刊介绍： A Revista de Economia e Sociologia Rural é uma publicação trimestral da Sociedade Brasileira de Economia e Sociologia Rural (SOBER). O seu objetivo é divulgar e difundir os resultados de pesquisas nas áreas de economia, administração, extensão e sociologia rural, e em conseqüência, promover e estimular o debate de temas e fatos de importância econômica e social, bem como colaborar no desenvolvimento científico e tecnológico, do Brasil e em outras partes do mundo. A abreviatura de seu título é Rev. Econ. Sociol. Rural, que deve ser usada em bibliografias, notas de rodapé e em referências e legendas bibliográficas.