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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
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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

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