The impact of the USDA soybean crop condition reports on CBOT futures prices

Isadora Vercesi Bethlem; Roberto Arruda de Souza Lima; Lilian Maluf de Lima

doi:10.1590/1806-9479.2022.257641

ORIGINAL ARTICLE

The impact of the USDA soybean crop condition reports on CBOT futures prices

O impacto da informação pública fornecida pelo USDA sobre a condição da lavoura de soja americana na expectativa de oferta e nos preços futuros na CBOT

Isadora Vercesi Bethlem; Roberto Arruda de Souza Lima; Lilian Maluf de Lima

http://dx.doi.org/10.1590/1806-9479.2022.257641 resr, vol.61, n2, e257641, 2023

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Abstract

Soybean price formation in the Chicago Board of Trade (CBOT) is determined by many variables, with supply expectations being one of the most critical. The United States Department of Agriculture (USDA) publishes the Crop Progress report (CPR) weekly and, among other information, the public report contains an evaluation of current growing conditions in areas under soybean cultivation in the country. Agent awareness of crop conditions before harvest should affect their expectations of the soybean volume (supply) that will enter the market and should affect soybean futures contract prices, possibly in a predictable manner. This study is designed to examine this hypothesis by determining if the CPR’s weekly release has a predictable impact on the following day’s soybean futures contract price. Between 1995 and 2018, a 1% increase in soybean crop area evaluated as “good” and “excellent” (Condition variable) in the weekly CPR reduced soybean futures contract prices by 0.45% the day following the report’s release and vice versa, and that the price trend ramped notably upward in 2008.

Keywords

supply expectation, soybean, public information, linear regression, CPR

Resumo

Resumo:: A precificação da soja na bolsa de Chicago (CBOT) é determinada por diversas variáveis, sendo a expectativa de oferta uma das mais importantes. O Departamento de Agricultura dos Estados Unidos (USDA) publica semanalmente, ao longo da safra americana, o relatório de progresso das culturas, chamado de Crop Progress report (CPR). Entre outras informações, o relatório consiste na avaliação das condições das lavouras que estão em desenvolvimento no campo e, entre elas, a avaliação das áreas de soja no país. As informações sobre as condições da cultura de soja afetam as expectativas dos agentes em relação ao volume (oferta) de grãos que entrarão no mercado após a colheita e devem refletir nos preços dos contratos futuros da soja, possivelmente de uma maneira preditiva. O presente estudo visa examinar essa hipótese e entender se a divulgação semanal do CPR tem impacto previsível no preço dos contratos futuros da soja no dia seguinte à sua divulgação. Entre 1995 e 2018, estimou-se que a variação de 1% na avaliação das áreas consideradas como “boas” e “excelentes”, entre um relatório e outro, variou, no sentindo contrário, os preços futuros em 0,45% Notou-se também que os preços atingiram um novo patamar de preço em 2008.

Palavras-chave

expectativa de oferta, soja, informação pública, regressão linear, CPR

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Submetido em:
24/10/2021

Aceito em:
05/04/2022

The impact of the USDA soybean crop condition reports on CBOT futures prices

O impacto da informação pública fornecida pelo USDA sobre a condição da lavoura de soja americana na expectativa de oferta e nos preços futuros na CBOT

Isadora Vercesi Bethlem; Roberto Arruda de Souza Lima; Lilian Maluf de Lima

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