Information shocks and coexceedances in agricultural commodity futures

This study examines extreme joint price movements in agricultural futures through the lens of the coexceedance framework. Focusing on two key substitute pairs, corn-soybean and winter wheat-spring wheat, we introduce supply-side information shocks from USDA reports as a novel determinant of coexceedances. Using partial ordered logit and quantile regression models, we analyze both the occurrence and the intensity of coexceedances in response to information shocks and macro-financial factors. The results show that USDA surprises significantly increase the likelihood and degree of coexceedances, with wheat markets exhibiting stronger and more persistent joint extremes than corn and soybeans. Effects are asymmetric: price-bearish surprises amplify downside risk, while price-bullish surprises intensify upside extremes. Macro-financial shocks further reinforce these patterns, particularly in wheat markets. These findings extend the coexceedance literature to agricultural futures, highlighting the systemic relevance of public information releases for risk management and market stability.