Prices on financial markets reflect the expectations of market participants. These expectations can be extracted from the prices using financial mathematical methods.
In the case of the Ukrainian conflict, futures on grain, especially wheat futures, are of particular interest, as both Russia and Ukraine are major global exporters of wheat. In this paper, the authors show how the prices of wheat futures can be used to determine the changing market expectations regarding the likely duration of the conflict over time.
With the conclusion of the UN grain agreement, the information content of wheat futures prices shifted away from market expectations regarding the further course of the war and towards market expectations regarding the durability of the grain agreement. The approach used can easily be adapted for future, similar cases.
Branger, N., Hanke, M., & Weissensteiner, A. (2024). The information content of wheat derivatives regarding the Ukrainian war. Journal of Futures Markets, 44(3), 420-431. (ABDC_2022: A)
Online at https://onlinelibrary.wiley.com/doi/10.1002/fut.22475