Price Volatility in the European Wheat and Corn Market in the Black Sea Agreement Context
2025
Elżbieta M. Kacperska | Katarzyna Łukasiewicz | Marta Skrzypczyk | Joanna Stefańczyk
The outbreak of war in Ukraine has severely disrupted global food and agricultural markets and affected commodity prices. The grain agreement, also known as the Black Sea Initiative, was concluded on 22 July 2022 by Ukraine, Russia, Turkey, and the United Nations, to alleviate the global food crisis caused by the conflict. This study aims to ascertain whether the agreement has resulted in the stabilization of cereal markets, examining the evolution of prices of wheat and corn, which are of significant importance in Ukrainian exports, throughout the duration of the agreement, including its signing, implementation, and expiration. The analysis, based on the GARCH model and using daily quotations of corn and wheat futures contracts of the European futures exchange Euronext from December 2021 to May 2024, indicates that prices were characterized by exceptionally high volatility in the period preceding the signing of the agreement, and at the time of its expiration. The uncertainty regarding cereal trade conditions has triggered shocks, with a long-lasting impact on price volatility.
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