Agricultural commodity market response to Russia's withdrawal from the grain deal
研究了俄罗斯退出黑海粮食倡议后七种农产品的期货价格、波动率和投机压力变化，发现价格短暂上涨后回落，投机未加剧，对判断市场是否担忧黑海粮食运输受阻有参考价值。
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.