Спекулативна динамика на пазарите на пшеница: оценка на въздействието на конфликта Русия–Украйна

Автори:
Страници: 124-130

Резюме:

This study examines speculative bubbles in global wheat prices from 2005 to 2025, focusing on the impact of the Russia-Ukraine war that began in February 2022. Using the Generalized Sup Augmented Dickey-Fuller (GSADF) test, we identify significant bubble periods, particularly in 2008–2009 (global financial crisis period) and 2022–2023, with the latter coinciding with the onset of the war. We employ Random Forest and logistic regression models to explore the drivers of these bubbles, incorporating market indicators such as Brent oil prices, gold prices, the MSCI World Index, U.S. 10-year Treasury yields, the VIX volatility index, and a war dummy variable. Our findings reveal that the Russia-Ukraine war significantly increases the likelihood of speculative bubbles in wheat prices, alongside key influences from gold prices, market volatility (VIX), and global equity markets (MSCI World). These results highlight the war’s profound impact on global food security and commodity markets, emphasizing the need for targeted policies—such as enhanced market oversight and strategic grain reserves—to mitigate speculative pressures and ensure price stability amidst geopolitical shocks

Ключови думи:

speculative bubbles; wheat prices; Russia-Ukraine war; GSADF test; Random Forest.

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