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

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dc.contributor.authorXu, Wenhao
dc.contributor.chairTurvey, Calumen_US
dc.contributor.committeeMemberde Gorter, Harryen_US
dc.date.accessioned2024-01-31T21:13:00Z
dc.date.available2024-01-31T21:13:00Z
dc.date.issued2023-05
dc.descriptionSupplemental file(s) description: None.en_US
dc.description.abstractThe 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.en_US
dc.identifier.doihttps://doi.org/10.7298/stg8-gk83
dc.identifier.otherXu_cornell_0058O_11750
dc.identifier.otherhttp://dissertations.umi.com/cornell:11750
dc.identifier.urihttps://hdl.handle.net/1813/113969
dc.language.isoen
dc.subjectGranger Causalityen_US
dc.subjectRussia-Ukraine Waren_US
dc.subjectspatial equilibrium modelen_US
dc.subjectwheat futuresen_US
dc.titleWAR AND COMMODITIES Investigating the impact of Russia’s invasion of Ukraine on the wheat futures complexen_US
dc.typedissertation or thesisen_US
dcterms.licensehttps://hdl.handle.net/1813/59810.2
thesis.degree.disciplineApplied Economics and Management
thesis.degree.grantorCornell University
thesis.degree.levelMaster of Science
thesis.degree.nameM.S., Applied Economics and Management

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