Jennifer Gomez - Academia.edu (original) (raw)
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Papers by Jennifer Gomez
… Research Service, US …, 2002
The economic value of public situation and outlook information has long been a subject of debate.... more The economic value of public situation and outlook information has long been a subject of debate. The purpose of this paper is to investigate the economic value of USDA WASDE reports in corn and soybean markets. The investigation is based on event study analysis, with the "events" consisting of the release of all monthly USDA WASDE reports for corn and soybeans from 1985 through 1998. The WASDE reports during the sample period are divided into two groups: one that represents "pure" outlook information and one that represents a "mix" of situation and outlook information. The statistical tests can be placed into two categories: mean price reaction and volatility reaction. Overall, the results suggest that USDA outlook information has a significant impact in corn and soybean markets. The most notable impact is found in options markets, where implied volatility consistently declines after the release of WASDE reports. For the group of monthly reports containing only outlook information, implied volatility for both corn and soybeans was lower on the report day than on the previous day about 60 percent of the time. The difference in mean implied volatility on the day of the report and on the previous day for both corn and soybeans was significantly different from zero. The average magnitude of the drop was between about two-and three-tenths of a percentage point (of annualized implied volatility), which would appear to be an economically non-trivial decrease. Hence, it can be concluded that USDA outlook information reduces the uncertainty of market participants' expected distribution of future prices. This reduction in market uncertainty is unambiguously welfare-enhancing.
Agribusiness, 2008
This study investigates the impact of USDA World Agricultural Supply and Demand Estimate (WASDE) ... more This study investigates the impact of USDA World Agricultural Supply and Demand Estimate (WASDE) reports on implied volatility in corn and soybean markets over 1985-2002. If WASDE reports resolve uncertainty, implied volatility should drop immediately after release of the reports. Results show that WASDE reports lead to a statistically significant reduction of implied volatility that averages 0.7 percentage points for corn and 0.8 percentage points for soybeans. The magnitude of the reduction is largest for the group of WASDE reports containing both domestic and international situation and outlook information. This group of reports reduces implied volatility by an average of 1.1 percentage points in corn and by almost 1.5 percentage points in soybeans. Results also reveal that the market impact of WASDE reports is strongest in the most recent 1996-2002 sub-period. Overall, the results indicate that WASDE reports provide valuable information to corn and soybean market participants.
… Research Service, US …, 2002
The economic value of public situation and outlook information has long been a subject of debate.... more The economic value of public situation and outlook information has long been a subject of debate. The purpose of this paper is to investigate the economic value of USDA WASDE reports in corn and soybean markets. The investigation is based on event study analysis, with the "events" consisting of the release of all monthly USDA WASDE reports for corn and soybeans from 1985 through 1998. The WASDE reports during the sample period are divided into two groups: one that represents "pure" outlook information and one that represents a "mix" of situation and outlook information. The statistical tests can be placed into two categories: mean price reaction and volatility reaction. Overall, the results suggest that USDA outlook information has a significant impact in corn and soybean markets. The most notable impact is found in options markets, where implied volatility consistently declines after the release of WASDE reports. For the group of monthly reports containing only outlook information, implied volatility for both corn and soybeans was lower on the report day than on the previous day about 60 percent of the time. The difference in mean implied volatility on the day of the report and on the previous day for both corn and soybeans was significantly different from zero. The average magnitude of the drop was between about two-and three-tenths of a percentage point (of annualized implied volatility), which would appear to be an economically non-trivial decrease. Hence, it can be concluded that USDA outlook information reduces the uncertainty of market participants' expected distribution of future prices. This reduction in market uncertainty is unambiguously welfare-enhancing.
Agribusiness, 2008
This study investigates the impact of USDA World Agricultural Supply and Demand Estimate (WASDE) ... more This study investigates the impact of USDA World Agricultural Supply and Demand Estimate (WASDE) reports on implied volatility in corn and soybean markets over 1985-2002. If WASDE reports resolve uncertainty, implied volatility should drop immediately after release of the reports. Results show that WASDE reports lead to a statistically significant reduction of implied volatility that averages 0.7 percentage points for corn and 0.8 percentage points for soybeans. The magnitude of the reduction is largest for the group of WASDE reports containing both domestic and international situation and outlook information. This group of reports reduces implied volatility by an average of 1.1 percentage points in corn and by almost 1.5 percentage points in soybeans. Results also reveal that the market impact of WASDE reports is strongest in the most recent 1996-2002 sub-period. Overall, the results indicate that WASDE reports provide valuable information to corn and soybean market participants.