Cointegration between the Black Sea and Kansas City Wheat Futures: The impact of Russian invasion of Ukraine

We investigate the effect of the Russian invasion of Ukraine on Black Sea Wheat futures. We find that the Black Sea Wheat futures are cointegrated with the Kansas City Wheat futures, the global standard for wheat prices. However, the relationship between these two series significantly changes as a r...

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Bibliographic Details
Published inJournal of Eastern European and Central Asian research Vol. 10; no. 3; pp. 413 - 424
Main Authors Hilliard, Jimmy E., Hilliard, Jitka, Wu, Yufei
Format Journal Article
LanguageEnglish
Published Minneapolis The Institute of Eastern Europe and Central Asia 05.06.2023
IEECA
Subjects
Agreements
Agricultural production
Agriculture
Black Sea Wheat futures
Cointegration of wheat prices
Consumers
Developing countries
Error correction & detection
Error Correction Model
Exports
Farmers
Food programs
Food security
Futures
Geopolitics
International trade
Kansas City Wheat futures
LDCs
Prices
Russian invasion of Ukraine
Securities markets
Stock exchanges
Volatility
Wheat
Ukraine
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Summary:We investigate the effect of the Russian invasion of Ukraine on Black Sea Wheat futures. We find that the Black Sea Wheat futures are cointegrated with the Kansas City Wheat futures, the global standard for wheat prices. However, the relationship between these two series significantly changes as a reaction to the main geopolitical events in the region. We also document a significant drop in open interest after the invasion. Our results are relevant to many market participants, such as Ukrainian farmers and consumers in developing countries, including the World Food Program, which buys about forty percent of its wheat supplies from Ukraine.
ISSN:2328-8272
2328-8280
DOI:10.15549/jeecar.v10i3.1177