Agricultural policy uncertainty and its impact on commodity markets

We construct an agricultural policy uncertainty (APU) index from leading national and local newspapers in major states the United States January 1999 to September 2021. Our analysis shows that economic Granger causes APU linearly short run, but relationship is nonlinear bidirectional long run. When considered, significantly reduces hedgers' net positions speculators' (except for corn hedgers) soybean markets. also has a significant positive impact on log returns of futures prices, consistent with theory storage where commodity volatility are positively correlated.