Abstract
This study investigates the impact of six major USDA reports in hog and cattle markets: Cattle; Cattle on Feed; Cold Storage; Hogs and Pigs; Livestock, Dairy, and Poultry Outlook (LDPO); and World Agricultural Supply and Demand Estimates (WASDE). A TARCH-in-mean model, with dummy variables to measure the impact of USDA reports and other external factors, is used to model close-to-open live/lean hog and live cattle futures returns from January 1985 through December 2004. The analysis revealed a statistically significant impact of all but Cattle and Cold Storage reports in live/lean hog futures, and all but Cold Storage reports in live cattle futures. Hogs and Pigs reports had the highest impact on live/lean hog returns by increasing conditional standard deviation 96%. Cattle, Cattle on Feed, and Hogs and Pigs reports had the highest impact on live cattle returns by increasing conditional standard deviation between 26% and 37.5%.
| Original language | English (US) |
|---|---|
| Pages (from-to) | 262-282 |
| Number of pages | 21 |
| Journal | Journal of Agricultural and Resource Economics |
| Volume | 31 |
| Issue number | 2 |
| State | Published - Aug 2006 |
Keywords
- Cattle
- Event study
- Hogs
- Livestock
- Public information
- TARCH Model
- USDA reports
ASJC Scopus subject areas
- Animal Science and Zoology
- Agronomy and Crop Science
- Economics and Econometrics