eCommons

 

WAR AND COMMODITIES Investigating the impact of Russia’s invasion of Ukraine on the wheat futures complex

Other Titles

Author(s)

Abstract

The current Russia-Ukraine war (2022-2023) poses challenges to wheat prices worldwide, and the price shock for the grain was a massive blow to countries that depend on wheat imports. This study aims to investigate how the effects of war including blockades, embargoes, and import quotas affect the welfare and price causality effects of regional and international wheat markets. We used time series futures data of Ukrainian wheat, Black Sea wheat, and CME wheat from May 2021 to February 2023 to analyze the changes in Granger causality measures of prices among wheat futures contracts traded on the Chicago Board of Trade (CBOT), including Ukrainian Wheat (KVH23) and Black Sea Wheat (FH23). We found that at the beginning of the war, around March 2022, there was a statistically significant temporal sequential prediction relationship between the three kinds of wheat under the influence of war. However, leading up to and following the start of the war, our vector autoregression (VAR) results indicated that historical Granger relationships were fractured. We conclude that the most enduring impact is the breakdown and realignment of historical trade relationships.

Journal / Series

Volume & Issue

Description

Supplemental file(s) description: None.

Sponsorship

Date Issued

2023-05

Publisher

Keywords

Granger Causality; Russia-Ukraine War; spatial equilibrium model; wheat futures

Location

Effective Date

Expiration Date

Sector

Employer

Union

Union Local

NAICS

Number of Workers

Committee Chair

Turvey, Calum

Committee Co-Chair

Committee Member

de Gorter, Harry

Degree Discipline

Applied Economics and Management

Degree Name

M.S., Applied Economics and Management

Degree Level

Master of Science

Related Version

Related DOI

Related To

Related Part

Based on Related Item

Has Other Format(s)

Part of Related Item

Related To

Related Publication(s)

Link(s) to Related Publication(s)

References

Link(s) to Reference(s)

Previously Published As

Government Document

ISBN

ISMN

ISSN

Other Identifiers

Rights

Rights URI

Types

dissertation or thesis

Accessibility Feature

Accessibility Hazard

Accessibility Summary

Link(s) to Catalog Record