Flexible Tests for USDA Report Announcement Effects in Futures Markets
针对美国农业部报告对玉米和大豆期货价格波动和收益的影响，提出了两种更灵活的统计检验方法，发现多数报告有显著影响。
Abstract The value of USDA reports in commodity futures markets has been intensively researched, but statistical hypothesis tests have been limited by the sheer number of reports and the consequent need to limit parameters to be estimated. This has led most tests of USDA report announcement effects to be based on single coefficients for each report series. We relax the implicit assumption that a report series has a constant impact on futures price volatility or returns in two ways in order to introduce more flexible tests for announcement effects. First, we introduce a time trend into the impact of announcements on futures price volatility to determine if USDA reports are becoming more or less influential over time. Then we allow each report to have a different impact on futures price returns using Theil‐Goldberger mixed estimation. The results show that many, but not all, USDA reports have significant effects on corn and soybean futures market returns or volatility.