Please use this identifier to cite or link to this item:
Type: Artigo
Title: Futures Price Response To Crop Reports In Grain Markets
Author: Mattos
Fabio L.; Silveira
Rodrigo L. F.
Abstract: The purpose of this study is to investigate the impact of crop reports from U.S. and Brazil on corn and soybean futures markets over the period 2004-2014. A TARCH model with dummy variables to measure the impact of crop reports is used. Results indicate that U.S. reports consistently affect corn and soybean futures price volatility, while Brazilian crop reports' impact on volatility is of smaller magnitude. Further, these impacts are generally found to be stronger when crop reports are released in the months preceding the beginning of harvest. (c) 2015 Wiley Periodicals, Inc. Jrl Fut Mark 36:923-942, 2016
Subject: Informational Content;usda Announcements;pigs Reports;corn;expectations;cattle;hogs
Editor: Wiley-Blackwell
Rights: fechado
Identifier DOI: 10.1002/fut.21764
Date Issue: 2016
Appears in Collections:Unicamp - Artigos e Outros Documentos

Files in This Item:
File SizeFormat 
000383862700001.pdf592.26 kBAdobe PDFView/Open

Items in DSpace are protected by copyright, with all rights reserved, unless otherwise indicated.