Hostname: page-component-78c5997874-dh8gc Total loading time: 0 Render date: 2024-11-08T11:32:18.387Z Has data issue: false hasContentIssue false
  • English
  • Français

To What Surprises Do Hog Futures Markets Respond?

Published online by Cambridge University Press:  26 January 2015

Julieta Frank ,
Philip Garcia  and
Scott H. Irwin
Julieta Frank
Affiliation:
Department of Agricultural and Consumer Economics, University of Illinois at Urbana–Champaign
Philip Garcia
Affiliation:
Department of Agricultural and Consumer Economics, University of Illinois at Urbana–Champaign
Scott H. Irwin
Affiliation:
Department of Agricultural and Consumer Economics, University of Illinois at Urbana–Champaign
Get access Rights & Permissions [Opens in a new window]

Abstract

We reassess the effect of new information in the Hogs and Pigs Reports (HPR) focusing on announcements' rationality and alternative surprises. HPR announcements are irrational estimates of final estimates, and market expectations are irrational estimates of HPR numbers. Using the market's best forecast and incorporating final estimates, we modify conventional information measures. Despite differences as large as 33 cents/cwt in price response, findings suggest there is little to differentiate among surprise measures. Regardless, the message that HPR provides new information to the market is strongly supported. On balance, marketing (breeding) information has a larger effect on short-term (long-term) price changes.

Keywords

HPRnew informationrationalitytwo-limit tobitUSDA announcementsC24Q13
Type
Articles
Information
Journal of Agricultural and Applied Economics , Volume 40 , Issue 1 , April 2007 , pp. 73 - 87
Copyright
Copyright © Southern Agricultural Economics Association 2008

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

References

Blanton, B., Johnson, S.R., Brandt, J.A., and Holt, M.T. “Applications of Quarterly Livestock Models in Evaluating and Revising Inventory Data.” NCR 134 Conference Proceedings, 1985, pp. 1–20.Google Scholar
Carter, C.A. “Commodity Futures Markets: A Survey.” Australian Journal of Agricultural and Resource Economics 75(1999):209–47.CrossRefGoogle Scholar
Carter, C.A., and Galopin, C.A. “Informational Content of Government Hogs and Pigs Reports.” American Journal of Agricultural Economics 75(1993):711–18.CrossRefGoogle Scholar
Colling, P., and Irwin, S.H. “The Reaction of Live Hog Futures Prices to USDA Hogs and Pigs Reports.” American Journal of Agricultural Economics 72(1990):84–94.CrossRefGoogle Scholar
Colling, P. “Informational Content of Government Hogs and Pigs Reports: Comment.” American Journal of Agricultural Economics 77(1995):698–702.CrossRefGoogle Scholar
Colling, P., Irwin, S.H., and Zulauf, C.R. “Weak-and Strong-Form Rationality Tests of Market Analysts' Expectations of USDA Hogs and Pigs Reports.” Review of Agricultural Economics 14(1992):263–70.CrossRefGoogle Scholar
Egelkraut, T., Garcia, P., and Sherrick, B. “Options-Based Forecasts of Futures Prices in the Presence of Limit Moves.” Applied Economics 39(2007):145–52.CrossRefGoogle Scholar
Garcia, P., and Leuthold, R.M. “A Selected Review of Agricultural Commodity Futures and Options Markets.” European Review of Agricultural Economics 31(2004):235–72.CrossRefGoogle Scholar
Greene, W.H. Econometric Analysis, 5th ed. Englewood Cliffs, NJ: Prentice Hall, 2002.Google Scholar
Hoffman, G. “The Effect of Quarterly Livestock Reports on Cattle and Hog Prices.” North Central Journal of Agricultural Economics 2(1980):145–50.CrossRefGoogle Scholar
Hudson, M.A., Koontz, S.R., and Purcell, W.D. The Impact of Hog and Pig Reports on Live Hog Futures Prices: An Event Study of Market Efficiency. Blacksburg: Virginia Polytechnic Institute and State University, Department of Agricultural Economics Bulletin AE-54, 1984.Google Scholar
Hurd, M. “Estimation in Truncated Samples When There Is Heteroscedasticity.” Journal of Econometrics 11(1979):247–58.CrossRefGoogle Scholar
Isengildina, O., Irwin, S., and Good, D. “The Value of USDA Situation and Outlook Information in Livestock and Hogs Markets.” Journal of Agricultural and Resource Economics 31(2006):262–82.Google Scholar
Kodres, L.E. “Tests of Unbiasedness in the Foreign Exchange Futures Markets: An Examination of Price Limits and Conditional Heteroscedasticity.” Journal of Business 66(1993):463–90.CrossRefGoogle Scholar
Maddala, G.S., and Nelson, F.D. “Specification Errors in Limited Dependent Variable Models.” NBER working paper no. 96, July 1975.CrossRefGoogle Scholar
Mann, T., and Dowen, R.J. “Are Hog and Pig Reports Informative?” Journal of Futures Markets 16(1996):273–87.3.0.CO;2-G>CrossRefGoogle Scholar
Mann, T., and Dowen, R.J. “The Impact of Proprietary-Public Information on Pork Futures.” Journal of Futures Markets 17(1997):417–32.3.0.CO;2-K>CrossRefGoogle Scholar
Meyer, S.D., and Lawrence, J.D. “Comparing USDA Hogs and Pigs Reports to Subsequent Slaughter: Does Systematic Error Exist?” NCR 134 Conference Proceedings, 1988, pp. 19–35.Google Scholar
Miller, S. “The Response of Futures Prices to New Market Information: The Case of Live Hogs.” Southern Journal of Agricultural Economics 2(1979):67–70.Google Scholar
Mills, J.G., and Schroeder, T.C. “Are Cattle on Feed Report Revisions Random and Does Industry Anticipate Them? Agribusiness 20(2004):363–74.CrossRefGoogle Scholar
Orazem, P., and Falk, B.L. “Measuring Market Responses to Error-Ridden Government Announcements.” Quarterly Review of Economics and Business 29(1989):41–55.Google Scholar
Runkle, D.E. “Are Farrowing Intentions Rational Forecasts?” American Journal of Agricultural Economics 73(1991):594–600.CrossRefGoogle Scholar
Runkle, D.E. “Do Futures Markets React Efficiently to Predictable Errors in Government Announcements?” Journal of Futures Markets 12(1992):635–43.CrossRefGoogle Scholar
Schaefer, M.P., Myers, R.J., and Koontz, S.R. “Rational Expectations and Market Efficiency in the U.S. Live Cattle Futures Markets: The Role of Proprietary Information.” Journal of Futures Markets 24(2004):429–51.CrossRefGoogle Scholar
USDA, NASS. Hogs and Pigs Final Estimates Statistical Bulletins. Washington, DC, U.S. Department of Agriculture, National Agricultural Statistics Service, Bulletin No. 797 for 1983–1987, 1989, Bulletin No. 904 for 1988–1992, 1994, Bulletin No. 951 for 1993–1997, 1998, and Bulletin No. 986 for 1998–2002, 2004.Google Scholar