Work

Government Announcements Through Harvest Reports, Extreme Market Conditions, and Commodity Price Volatility

Year: 2025

Type: article

Abstract: The objective of this research is to understand the relationship between the tone of information released in government harvest reports, in extreme market conditions (rising and falling), and the behavior of agricultural commodity prices. In the period between January/2017 and February/2023, an autoregressive model of moving averages was used with a generalized autoregressive conditional heteroscedasticity approach. The evidence allows us to infer that investors can, on some occasions, use this information to direct their portfolios in order to balance risk and return. However, the full impact of the tone is not reflected immediately, possibly requiring time to be absorbed. Depending on the informational weight, the commodity, and the market context, there may or may not be an impact. This divergent empirical evidence indicates that there is a complex relationship between tone reading and asset pricing.

Source: Commodities

DOI: 10.3390/commodities4040021

Authors: Erica Juvercina Sobrinho, Rodrigo Fernandes Malaquias

Institution: Universidade Federal de Uberlândia

Language: English

Topic: Market Dynamics and Volatility

Subfield: Economics and Econometrics

Field: Economics, Econometrics and Finance

Domain: Social Sciences

SDG: Zero hunger

Open Access status: gold

Estimated APC paid: $1,207