Price Volatility in the European Wheat and Corn Market in the Black Sea Agreement Context

Elżbieta M. Kacperska (), Katarzyna Łukasiewicz, Marta Skrzypczyk and Joanna Stefańczyk
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Elżbieta M. Kacperska: Institute of Economics and Finance, Warsaw University of Life Sciences, 02-787 Warsaw, Poland
Katarzyna Łukasiewicz: Management Institute, Warsaw University of Life Sciences, 02-787 Warsaw, Poland
Marta Skrzypczyk: Institute of Economics and Finance, Warsaw University of Life Sciences, 02-787 Warsaw, Poland
Joanna Stefańczyk: Institute of Economics and Finance, Warsaw University of Life Sciences, 02-787 Warsaw, Poland

Agriculture, 2025, vol. 15, issue 1, 1-15

Abstract: 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.

Keywords: price volatility; agricultural prices; Russia–Ukraine war; GARCH model (search for similar items in EconPapers)
JEL-codes: Q1 Q10 Q11 Q12 Q13 Q14 Q15 Q16 Q17 Q18 (search for similar items in EconPapers)
Date: 2025
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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