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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.

Suggested Citation

  • Götz, Linde & Goychuk, Kateryna & Glauben, Thomas & Meyers, William H., 2013. "Export Restrictions and Market Uncertainty: Evidence from the Analysis of Price Volatility in the Ukrainian Wheat Market," 2013 Annual Meeting, August 4-6, 2013, Washington, D.C. 150308, Agricultural and Applied Economics Association.
  • Handle: RePEc:ags:aaea13:150308
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    References listed on IDEAS

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    1. Robert F. Engle & Kevin Sheppard, 2001. "Theoretical and Empirical properties of Dynamic Conditional Correlation Multivariate GARCH," NBER Working Papers 8554, National Bureau of Economic Research, Inc.
    2. Anderson, Kym & Nelgen, Signe, 2012. "Trade Barrier Volatility and Agricultural Price Stabilization," World Development, Elsevier, vol. 40(1), pages 36-48.
    3. Gardebroek, Cornelis & Hernandez, Manuel A., 2013. "Do energy prices stimulate food price volatility? Examining volatility transmission between US oil, ethanol and corn markets," Energy Economics, Elsevier, vol. 40(C), pages 119-129.
    4. 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.
    5. 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.
    6. Will Martin & Kym Anderson, 2012. "Export Restrictions and Price Insulation During Commodity Price Booms," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 94(2), pages 422-427.
    7. 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.
    8. Kym Anderson & Signe Nelgen, 2012. "Agricultural trade distortions during the global financial crisis," Oxford Review of Economic Policy, Oxford University Press, vol. 28(2), pages 235-260, SUMMER.
    9. 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.
    10. 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.
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    Cited by:

    1. Imamverdiyev, Nizami & Anders, Sven & Glauben, Thomas & Perekhozhuk, Oleksandr & Prehn, Soren, 2015. "Determinants of Trade Duration of Kazakhstan's Wheat Exports," 2015 Conference, August 9-14, 2015, Milan, Italy 211788, International Association of Agricultural Economists.
    2. An, Henry & Qiu, Feng & Zheng, Yanan, 2016. "How do export controls affect price transmission and volatility spillovers in the Ukrainian wheat and flour markets?," Food Policy, Elsevier, vol. 62(C), pages 142-150.

    More about this item

    Keywords

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

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