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Export Restrictions and Market Uncertainty: Evidence from the Analysis of Price Volatility in the Ukrainian Wheat Market

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  • Götz, Linde
  • Goychuk, Kateryna
  • Glauben, Thomas
  • Meyers, William H.

Abstract

The impact of export restrictions on market uncertainty has not been investigated before. This paper analyses the development of price volatility in the Ukrainian wheat market characterized by export restrictions during the commodity price peaks 2007/08 and 2010/11 within a dynamic conditional correlation GARCH model. We conclude that the export controls in Ukraine have not significantly reduced price volatility on the domestic wheat market. On the contrary, our findings suggest that the multiple and unpredictable political interference of the Ukrainian government on the wheat export market has substantially increased market uncertainty which led to pronounced additional price volatility in the market. The highly uncertain and unpredictable environment of wheat markets with restricted exports has dramatic consequences for the grain sector in Ukraine and prevents its further development.

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Bibliographic Info

Paper provided by Agricultural and Applied Economics Association in its series 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. with number 150308.

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Date of creation: 2013
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Handle: RePEc:ags:aaea13:150308

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Keywords: Demand and Price Analysis; International Relations/Trade; Risk and Uncertainty;

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  1. Kym Anderson, 2012. "Agricultural Trade Distortions During the Global Financial Crisis," Departmental Working Papers 2012-05, The Australian National University, Arndt-Corden Department of Economics.
  2. Anderson, Kym & Nelgen, Signe, 2012. "Trade Barrier Volatility and Agricultural Price Stabilization," World Development, Elsevier, vol. 40(1), pages 36-48.
  3. Anderson, Kym & Martin, Will, 2011. "Export Restrictions and Price Insulation During Commodity Price Booms," CEPR Discussion Papers 8494, C.E.P.R. Discussion Papers.
  4. Bernhard Brümmer & Stephan von Cramon-Taubadel & Sergiy Zorya, 2009. "The impact of market and policy instability on price transmission between wheat and flour in Ukraine," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 36(2), pages 203-230, June.
  5. Gardebroek, Cornelis & Hernandez, Manuel A., 2012. "Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122476, European Association of Agricultural Economists.
  6. Gotz, Linde & Qiu, Feng & Gervais, Jean-Philippe & Glauben, Thomas, 2012. "Export Restrictions And Multiple Spatial Price Equilibria When International Prices Spike: Export Quotas For Wheat In Ukraine," 2012: New Rules of Trade?, December 2012, San Diego, California 143179, International Agricultural Trade Research Consortium.
  7. Engle, Robert F & Sheppard, Kevin K, 2001. "Theoretical and Empirical Properties of Dynamic Conditional Correlation Multivariate GARCH," University of California at San Diego, Economics Working Paper Series qt5s2218dp, Department of Economics, UC San Diego.
  8. Fackler, Paul L. & Goodwin, Barry K., 2001. "Spatial price analysis," Handbook of Agricultural Economics, in: B. L. Gardner & G. C. Rausser (ed.), Handbook of Agricultural Economics, edition 1, volume 1, chapter 17, pages 971-1024 Elsevier.
  9. Götz, Linde & Glauben, Thomas & Brümmer, Bernhard, 2013. "Wheat export restrictions and domestic market effects in Russia and Ukraine during the food crisis," Food Policy, Elsevier, vol. 38(C), pages 214-226.
  10. Philip C. Abbott, 2012. "Export Restrictions as Stabilization Responses to Food Crisis," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 94(2), pages 428-434.
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