Pre‐Harvest Price Expectations for Corn: The Information Content of USDA Reports and New Crop Futures
研究为何期货价格仍对美国农业部作物报告有反应，尽管报告似乎不再比私人预测更有信息价值。通过模型发现报告仍具新闻价值，期货价格反应是理性的。
This article examines the puzzle of why futures prices continue to react to USDA crop reports despite the fact that reports appear to be no longer “newsworthy,” that is, provide no better production estimates than private forecasts. The information value of reports is measured in terms of their influence on rational agents' harvest‐time corn price expectations, which are uncovered using a Hamilton‐type modeling approach. Results show that reports are still “newsworthy,” as they would contribute to agents' price expectations if released a day early. Thus futures price reactions, which closely reflect price expectations, are rational and consistent with efficient markets hypothesis.