Supply Fundamentals and Grain Futures Price Movements
研究发现，纠正美国农业部作物产量报告中的测量误差后，供给基本面消息对玉米、大豆和小麦期货价格变动的解释力提高约三倍，常超过70%。
A long‐standing puzzle in commodity markets is the low explanatory power of supply and demand fundamentals for explaining the variability of prices in these markets. We apply an instrumental variable correction for measurement errors to investigate how noise in the surprise component of USDA Crop Production reports affects estimated price responses in corn, soybeans, and wheat futures markets from 1970 to 2016. Our findings demonstrate that after correcting for measurement error in market surprises, the explanatory power of our models increases about threefold and often exceeds 70%. This is compelling evidence that fundamental supply news play an important role in explaining grain futures price movements.