Agricultural commodity market response to Russia's withdrawal from the grain deal

IF 3.4 2区 经济学 Q1 AGRICULTURAL ECONOMICS & POLICY Journal of Agricultural Economics Pub Date : 2024-07-16 DOI:10.1111/1477-9552.12611
Sandro Steinbach, Yasin Yildirim
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Abstract

This paper assesses the response of agricultural commodity markets to Russia's withdrawal from the Black Sea Grain Initiative (BSGI). Employing daily commodity-level data and event study methods, we analyse the impact on seven agricultural commodities and four key market metrics, including futures prices, historical and implied volatility, and speculative pressure. Our findings show a statistically insignificant increase of 1.1% in agricultural futures prices within the first seven trading days following the BSGI termination. In the following days, futures prices began to decline, eventually returning to levels below those observed before the withdrawal, a pattern further underscored by our implied volatility analysis. While there is no evidence of heightened speculation, we find some evidence for treatment differences across agricultural commodities. These findings suggest that traders did not believe in the likelihood of a blockade of Black Sea grain shipments.

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农产品市场对俄罗斯退出谷物协议的反应
本文评估了农产品市场对俄罗斯退出黑海谷物倡议(BSGI)的反应。我们采用每日商品级数据和事件研究方法,分析了对七种农产品和四个关键市场指标的影响,包括期货价格、历史和隐含波动率以及投机压力。我们的研究结果表明,在 BSGI 终止后的头七个交易日内,农产品期货价格出现了 1.1% 的增长,但在统计意义上并不显著。在随后的几天里,期货价格开始下跌,最终回到低于撤出前的水平,我们的隐含波动率分析进一步强调了这一模式。虽然没有证据表明投机行为加剧,但我们发现了一些证据表明农产品之间存在处理差异。这些研究结果表明,交易商并不相信黑海谷物运输被封锁的可能性。
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来源期刊
Journal of Agricultural Economics
Journal of Agricultural Economics 管理科学-农业经济与政策
CiteScore
7.90
自引率
2.90%
发文量
48
审稿时长
>24 weeks
期刊介绍: Published on behalf of the Agricultural Economics Society, the Journal of Agricultural Economics is a leading international professional journal, providing a forum for research into agricultural economics and related disciplines such as statistics, marketing, business management, politics, history and sociology, and their application to issues in the agricultural, food, and related industries; rural communities, and the environment. Each issue of the JAE contains articles, notes and book reviews as well as information relating to the Agricultural Economics Society. Published 3 times a year, it is received by members and institutional subscribers in 69 countries. With contributions from leading international scholars, the JAE is a leading citation for agricultural economics and policy. Published articles either deal with new developments in research and methods of analysis, or apply existing methods and techniques to new problems and situations which are of general interest to the Journal’s international readership.
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