The Impact of USDA Reports on U.S. Dairy Market Volatility

This paper applies an event study approach to measure the impact of United States Department of Agriculture (USDA) reports on dairy futures price volatility over January 2011 to December 2023. Dairy futures are a relatively understudied commodity market with a unique pricing structure and settlement procedure. An E-GARCH model is used to estimate price volatility with exogenous dummy variables of lagged volume, NDPSR, WASDE, Cold Storage, Dairy Products, and Milk Production. Milk Production had the strongest impact, significantly increasing price volatility in all markets but Class III. National Dairy Product Sales Report (NDPSR) was found to significantly decrease volatility in all markets except Class III. The other reports studied had mixed impacts on the dairy markets.