The Value of Public Information in Storable Commodity Markets: Application to the Soybean Market
构建全球大豆市场的理性预期储存模型，评估生产预测等公共信息对市场效率的影响，发现信息带来的福利收益相当于储存成本的2%，主要通过降低库存实现，同时改变季节性价格波动模式。
This article provides a framework to estimate the potential effects and benefits of the provision of market information in storable commodity markets. This framework is applied to the case of production forecasts for the soybean market. A rational expectations storage model of the global soybean market accounting for both inter‐annual and intra‐annual market dynamics is built. Shocks that occur between planting and harvesting affect the size of the potential harvest. Estimates of the size of these shocks are reported publicly and affect the market equilibrium through adjustments to stock levels. By varying counterfactually the observability of seasonal shocks, we can estimate the efficiency gains related to the availability of advance information. They are equivalent to 2% of storage costs; the reduction of stock levels being the main channel explaining the welfare gains. The presence of advance information has a limited effect on inter‐annual price volatility but redistributes price volatility during the season, increasing it just before harvest when almost all news has been received and stocks are tight and decreasing it after harvest. The effect of news shocks is stronger on higher order moments of the distribution with a strong decrease in skewness and kurtosis related to the lower frequency of price spikes.