A long‐standing puzzle in commodity markets is the low explanatory power of supply and demand fundamentals for explaining the variability of prices in these markets. We apply an instrumental variable correction for measurement errors to investigate how noise in the surprise component of USDA Crop Production reports affects estimated price responses in corn, soybeans, and wheat futures markets from 1970 to 2016. Our findings demonstrate that after correcting for measurement error in market surprises, the explanatory power of our models increases about threefold and often exceeds 70%. This is compelling evidence that fundamental supply news play an important role in explaining grain futures price movements.

中文翻译：

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供应基本面和谷物期货价格走势

商品市场中一个长期存在的谜团是供需基本面对于解释这些市场价格波动的低解释力。我们对测量误差应用了工具变量校正，以研究美国农业部作物生产报告中意外成分中的噪声如何影响 1970 年至 2016 年玉米、大豆和小麦期货市场的估计价格反应。我们的研究结果表明，在校正测量误差后，市场出人意料的是，我们模型的解释力增加了大约三倍，并且经常超过 70%。这是令人信服的证据，表明基本供应消息在解释谷物期货价格走势方面发挥着重要作用。