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.

中文翻译：

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农产品市场对俄罗斯退出粮食协议的反应


本文评估了农产品市场对俄罗斯退出黑海粮食倡议（BSGI）的反应。我们采用每日商品层面的数据和事件研究方法，分析了对七种农产品和四个关键市场指标的影响，包括期货价格、历史波动率和隐含波动率以及投机压力。我们的研究结果显示，在 BSGI 终止后的前 7 个交易日内，农产品期货价格上涨了 1.1%，在统计上并不显着。在接下来的几天里，期货价格开始下跌，最终回到低于撤回前观察到的水平，我们的隐含波动率分析进一步强调了这一模式。虽然没有证据表明投机活动加剧，但我们发现了一些农产品待遇差异的证据。这些调查结果表明，贸易商并不相信黑海谷物运输可能被封锁。