Abstract
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.
Publisher
Journal of Eastern European and Central Asian Research
Subject
Marketing,Organizational Behavior and Human Resource Management,Strategy and Management,Economics and Econometrics,Finance,Business and International Management
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