The Impact of USDA Wasde Announcements on South African White Maize Futures Prices

The United States Department of Agriculture (USDA) World Agricultural Demand and Supply Estimates (WASDE) releases monthly reports containing valuable information on agricultural projections and expected production. These reports are frequently used by farmers, millers, commodity traders and suppliers, many of whom use futures contracts to mitigate their exposure to commodity price risk. Through an event study analysis, this paper examines the impact of these reports on white maize futures prices listed on the South African Futures Exchange (SAFEX) for the period November 2013 to October 2022. White maize futures contracts remain the most liquidly traded contract on SAFEX and is the only listed white maize contract traded on a futures exchange globally. Furthermore, previous studies have found significant spillover effects from SAFEX-listed white maize onto maize futures listed in the U.S., Brazil, and Argentina. The results confirm significant price reactions, with return variability significantly different from those observed on days preceding and days following the report’s release. Given the prominence of maize in food and fuel production, the results have important implications for market participants not only across futures markets, but also for those involved in the production and sale of industrial products requiring maize.