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Maximilian Heigermoser: Wheat futures price volatility and Russian export restrictions
Termin |
Mittwoch, 14. April 2021, 18.00 - 19.00 Uhr
|
Veranstaltungsart |
Kolloquium |
Einrichtung |
Wirtschaftswissenschaftlicher Bereich |
Veranstaltungsort |
Online |
Straße |
Große Steinstraße 73 |
PLZ/Ort |
06108 Halle (Saale) |
Beschreibung
Russia, the world’s largest wheat exporter since 2017/18, has repeatedly restricted its grain exports with taxes, quotas or bans. Such policy intervention can induce uncertainty to futures, as well as spot markets, jeopardizing global food security. Building on high-frequency, transaction-specific wheat futures price data from the Chicago Board of Trade (July 2013 through October 2020), we measure contemporaneous, pre- and post-announcement volatility effects of Russian grain trade policy announcements. Computing various realized volatility measures from five-minute intra-day returns, our results suggest increased volatility on days leading up to newswire reports on Russian grain export policy. For comparison, we find similar pre-announcement effects on days preceding pre-scheduled crop reports released by the US Department of Agriculture, corresponding to publications of analyst poll results. We confirm that realized volatility measures are well-equipped to analyze punctual volatility events compared to conditional GARCH volatility, which can only depict longer-lasting volatility effects.
Hinweise
Das Wirtschaftswissenschaftliche Forschungskolloquium wird digital stattfinden. Bitte klicken Sie zur Teilnahme auf den Link, um dem Meeting beizutreten.
https://iamo.zoom.us/j/82348006561?pwd=UnBUbnV4ZnNCT2psNmU0YzVNaGFqQT09
Meeting-?ID: 823 4800 6561
Kenncode: 205468
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