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Agricultural Commodity Market Response to Russia’s Withdrawal from the Grain Deal

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  • Steinbach, Sandro
  • Yildirim, Yasin

Abstract

This paper assesses the response of agricultural commodity markets to Russia's withdrawal from the Black Sea Grain Initiative (BSGI). Employing daily commodity‐level data and event study methods, we analyse the impact on seven agricultural commodities and four key market metrics, including futures prices, historical and implied volatility, and speculative pressure. Our findings show a statistically insignificant increase of 1.1% in agricultural futures prices within the first seven trading days following the BSGI termination. In the following days, futures prices began to decline, eventually returning to levels below those observed before the withdrawal, a pattern further underscored by our implied volatility analysis. While there is no evidence of heightened speculation, we find some evidence for treatment differences across agricultural commodities. These findings suggest that traders did not believe in the likelihood of a blockade of Black Sea grain shipments.
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Suggested Citation

  • Steinbach, Sandro & Yildirim, Yasin, 2023. "Agricultural Commodity Market Response to Russia’s Withdrawal from the Grain Deal," 2023: The Future of (Ag-) Trade and Trade Governance in Times of Economic Sanctions and Declining Multilateralism, December 10-12, Clearwater Beach, FL 339540, International Agricultural Trade Research Consortium.
    • Handle: RePEc:ags:iats23:339540
    DOI: 10.22004/ag.econ.339540
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    References listed on IDEAS

    as
    1. Colin A. Carter & Sandro Steinbach & Xiting Zhuang, 2023. "Supply chain disruptions and containerized agricultural exports from California ports," Applied Economic Perspectives and Policy, John Wiley & Sons, vol. 45(2), pages 1051-1071, June.
    2. Simon Freyaldenhoven & Christian Hansen & Jorge Perez Perez & Jesse Shapiro, 2021. "Visualization, Identification, and stimation in the Linear Panel Event-Study Design," Working Papers 21-44, Federal Reserve Bank of Philadelphia.
    3. Davood Poursina & K. Aleks Schaefer & Sidany Hilburn & Tuff Johnson, 2024. "Economic impacts of the Black Sea Grain Initiative," Journal of Agricultural Economics, Wiley Blackwell, vol. 75(1), pages 457-464, February.
    4. Steinbach, Sandro, 2022. "Port congestion, container shortages, and U.S. foreign trade," Economics Letters, Elsevier, vol. 213(C).
    5. Dmitry Arkhangelsky & Susan Athey & David A. Hirshberg & Guido W. Imbens & Stefan Wager, 2021. "Synthetic Difference-in-Differences," American Economic Review, American Economic Association, vol. 111(12), pages 4088-4118, December.
    6. Soojung Ahn & Dongin Kim & Sandro Steinbach, 2023. "The impact of the Russian invasion of Ukraine on grain and oilseed trade," Agribusiness, John Wiley & Sons, Ltd., vol. 39(1), pages 291-299, January.
    7. Xiaoli L. Etienne & Scott H. Irwin & Philip Garcia, 2018. "Speculation and corn prices," Applied Economics, Taylor & Francis Journals, vol. 50(44), pages 4724-4744, September.
    8. Working, Holbrook, 1960. "Speculation on Hedging Markets," Food Research Institute Studies, Stanford University, Food Research Institute, vol. 1(2), pages 1-36.
    9. A. Colin Cameron & Douglas L. Miller, 2015. "A Practitioner’s Guide to Cluster-Robust Inference," Journal of Human Resources, University of Wisconsin Press, vol. 50(2), pages 317-372.
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    11. Goyal, Raghav & Steinbach, Sandro, 2023. "Agricultural commodity markets in the wake of the black sea grain initiative," Economics Letters, Elsevier, vol. 231(C).
    12. Steinbach, Sandro, 2023. "The Russia–Ukraine war and global trade reallocations," Economics Letters, Elsevier, vol. 226(C).
    13. Haase, Marco & Seiler Zimmermann, Yvonne & Zimmermann, Heinz, 2016. "The impact of speculation on commodity futures markets – A review of the findings of 100 empirical studies," Journal of Commodity Markets, Elsevier, vol. 3(1), pages 1-15.
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    Keywords

    Agribusiness; Agricultural Finance; International Relations/Trade;
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