Quantifying the WASDE Announcement Effect
用两阶段GLS模型量化美国农业部WASDE报告对棉花、大豆和硬红冬小麦期货价格波动的影响，发现公告效应持续存在，在低结转库存时期被放大，且价格快速吸收信息。
This article uses a two‐stage GLS model to quantify the World Agricultural Supply and Demand Estimates (WASDE) announcement effect for cotton, soybeans and hard winter wheat, controlling for important factors associated with commodity price volatility. The information presented by the overlapping nature of futures contracts is exploited to estimate conditional effects by month, inventory conditions, and delivery horizon. Results in this article show that the WASDE announcement effect persists across contract positions, is not limited to months that include NASS crop survey data, is amplified during low carryover periods for soybeans and wheat,and is rapidly incorporated into futures prices.