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dc.contributor.advisorChairperson, Graduate Committee: Joseph Janzenen
dc.contributor.authorBunek, Gabriel Daviden
dc.date.accessioned2017-01-21T17:49:57Z
dc.date.available2017-01-21T17:49:57Z
dc.date.issued2015en
dc.identifier.urihttps://scholarworks.montana.edu/xmlui/handle/1/10131
dc.description.abstractThe United States Department of Agriculture provides information about fundamental supply and demand conditions for major agricultural commodities. I consider whether USDA's crop reports facilitate price consensus in the winter wheat futures market by testing the hypothesis that uncertainty, as measured by realized price volatility is reduced following the release of USDA reports. This hypothesis was originally developed in studies using implied volatility and found significant decreases. I instead calculate realized daily and intraday volatility using transaction level data from Kansas City Board of Trade futures contracts. Dates on which USDA reports are released are compared to the ten days around the report. Exploiting the full granularity of data, intraminute volatilities are computed to test whether there are distributional differences between report and non-report days. All results suggest that realized volatility does not decrease following USDA wheat report releases but instead increases. Regression analysis shows this result is robust to the inclusion of a limited but relevant set of controls.en
dc.language.isoenen
dc.publisherMontana State University - Bozeman, College of Agricultureen
dc.subject.lcshUnited States Department of Agriculture.en
dc.subject.lcshWinter wheat.en
dc.subject.lcshEconomicsen
dc.titleCharacterizing the effect of USDA report announcements in the winter wheat futures market using realized volatilityen
dc.typeThesisen
dc.rights.holderCopyright 2015 by Gabriel David Bunek.en
thesis.degree.committeemembersMembers, Graduate Committee: Joseph Janzen (chairperson); Anton Bekkerman; Joseph Atwood.en
thesis.degree.departmentAgricultural Economics & Economics.en
thesis.degree.genreThesisen
thesis.degree.nameMSen
thesis.format.extentfirstpage1en
thesis.format.extentlastpage100en
mus.relation.universityMontana State University - Bozemanen_US
mus.data.thumbpage21


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