The rapid rise of Russia's wheat exports price formation, spot-futures relations and volatility effects
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| Format: | Abschlussarbeit Buch |
| Sprache: | English |
| Veröffentlicht: |
Halle (Saale)
IAMO
2023
|
| Schriftenreihe: | Studies on the agricultural and food sector in transition economies
volume 100 |
| Schlagworte: | |
| Online-Zugang: | Inhaltsverzeichnis Inhaltsverzeichnis |
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| 100 | 1 | |a Heigermoser, Maximilian |e Verfasser |0 (DE-588)117371099X |4 aut | |
| 245 | 1 | 0 | |a The rapid rise of Russia's wheat exports |b price formation, spot-futures relations and volatility effects |c by Maximilian Heigermoser |
| 264 | 1 | |a Halle (Saale) |b IAMO |c 2023 | |
| 300 | |a XX, 169 Seiten |b Diagramme |c 21 cm | ||
| 336 | |b txt |2 rdacontent | ||
| 337 | |b n |2 rdamedia | ||
| 338 | |b nc |2 rdacarrier | ||
| 490 | 1 | |a Studies on the agricultural and food sector in transition economies |v volume 100 | |
| 502 | |b Dissertation |c Martin Luther University Halle-Wittenberg |d 2021 | ||
| 653 | |a Russia | ||
| 653 | |a wheat | ||
| 653 | |a exports | ||
| 653 | |a rapid | ||
| 653 | |a rise | ||
| 653 | |a price formation | ||
| 653 | |a spot-futures relations | ||
| 653 | |a volatility effects | ||
| 653 | |a Egypt | ||
| 653 | |a Turkey | ||
| 653 | |a Saudi-Arabia | ||
| 653 | |a Iran | ||
| 653 | |a Black Sea | ||
| 653 | |a multivariate cointegration | ||
| 653 | |a VECM,Vector Error Correction Model | ||
| 653 | |a Vector Autoregressive | ||
| 653 | |a VAR-X approach | ||
| 653 | |a Vector Autoregressive with Exogenous Variable | ||
| 653 | |a Generalized Autoregressive Conditional Heteroscedasticity | ||
| 653 | |a GARCH | ||
| 653 | |a Autoregressive moving average | ||
| 653 | |a ARMA-X approach | ||
| 655 | 7 | |0 (DE-588)4113937-9 |a Hochschulschrift |2 gnd-content | |
| 776 | 0 | 8 | |i Erscheint auch als |n Online-Ausgabe |a Heigermoser, Maximilian |t The rapid rise of Russia's wheat exports |d Halle (Saale) : Leibniz Institute of Agricultural Development in Transition Economies (IAMO), 2023 |h Online-Ressource |
| 830 | 0 | |a Studies on the agricultural and food sector in transition economies |v volume 100 |w (DE-604)BV044987807 |9 100 | |
| 856 | 4 | 2 | |m B:DE-101 |q application/pdf |u https://d-nb.info/1279612916/04 |3 Inhaltsverzeichnis |
| 856 | 4 | 2 | |m DNB Datenaustausch |q application/pdf |u http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034957598&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |3 Inhaltsverzeichnis |
| 999 | |a oai:aleph.bib-bvb.de:BVB01-034957598 | ||
| 883 | 2 | |8 1\p |a dnb |d 20230605 |q DE-101 |u https://d-nb.info/provenance/plan#dnb | |
Datensatz im Suchindex
| _version_ | 1804186501844566016 |
|---|---|
| adam_txt |
TABLE
OF
CONTENTS
ACKNOWLEDGEMENTS
.
V
SUMMARY
.
VI
ZUSAMMENFASSUNG
.
IX
TABLE
OF
CONTENTS
.
XII
LIST
OFFIGURES
.
XV
LIST
OF
TABLES
.
XVI
LIST
OFFIGURES
IN
APPENDIX
.
XVII
LIS
OF
TABLES
IN
APPENDIX
.
XVIII
LIST
OF
ABBREVIATIONS
.
XIX
1
INTRODUCTION
.
1
1.1
RUSSIA'S
RISING
WHEAT
EXPORTS:
PREREQUISITES
AND
KEY
CHARACTERISTICS
.
2
1.2
PROBLEM
STATEMENT
AND
RESEARCH
QUESTIONS
.
7
1.3
STRUCTURE
OF
THE
DISSERTATION
.
10
2
RUSSIA'S
FOOD
TRADE
RELATION
WITH
SELECTED
MENA
COUNTRIES
.
15
2.1
EGYPT
.
19
2.2
TURKEY
.
22
2.3
SAUDI
ARABIA
.
25
2.4
IRAN
.
29
2.5
CONCLUSIONS
.
32
3
PRICE
FORMATION
WITHIN
EGYPT
'
S
TENDER
MARKET:
IMPLICATIONS
FOR
BLACK
SEA
EXPORTERS
.
35
3.1
EGYPT
'
S
WHEAT
TENDER
MARKET
.
39
3.2
METHODOLOGY:
MULTIVARIATE
COINTEGRATION
AND
THE
VECM
.
41
3.3
DATA
CHARACTERISTICS
AND
PROPERTIES
.
44
3.4
ESTIMATION
RESULTS
.48
3.4.1
INTEGRATION
AND
EXTENT
OF
THE
GASC
WHEAT
TENDER
MARKET
.48
3.4.2
INTERDEPENDENCIES
AND
PRICE
LEADERSHIP
.
52
3.4.3
COMPARISON
OF
MUITIVARIATE
WITH
BIVARIATE
VECM
RESULTS
.
54
3.4.4
IMPULSE-RESPONSE
A
NA
LYSIS
.
55
3.5
SUMMARY
AND
CONDUSIONS
.
.
58
4
BLACK
SEA
SPOT
AND
MAJOR
FUTURES
PRICES:
REALIZED
VOLATILITY
RELATIONS
.
61
4.1
LITERATURE
REVIEW
.64
4.2
DEVELOPMENT
OF
A
FUTURES
MARKET
FOR
BLACK
SEA
WHEAT
.
67
4.3
DATA
AND
DATA
PREPARATION
.
71
4.4
METHODOLOGY:
THE
VAR-X
APPROACH
.
76
4.5
ESTIMATION
RESULTS
.
80
4.5.1
WHEAT
PRICE
VOLATILITY:
COMPARISON
OF
REALIZED
AND
GARCH
APPROACHES
.
80
4.5.2
VOLATILITY
RELATIONS
BETWEEN
BLACK
SEA
SPOT
AND
LEADING
FUTURES
MARKETS
85
4.5.3
ASYMMETRIE
RESPONSES
TO
RUBLE
EXCHANGE
RATE
JUMPS
.
88
4.6
CONDUSIONS
.
90
5
WHEAT
FUTURES
PRICE
VOLATILITY
AND
NEWS
ON
RUSSIAN
EXPORT
RESTRICTIONS
.
95
5.1
LITERATURE
REVIEW
.
99
5.2
DESCRIPTION
OF
USED
HIGH-FREQUENCY
PRICE
DATASET
.
101
5.3
METHODOLOGY:
THE
ARMA-X
APPROACH
.
102
5.4
CONSTRUCTION
AND
DESCRIPTION
OF
EVENT
INDICATOR
VARIABLE
.
105
5.5
ESTIMATION
RESULTS
.
109
5.5.1
CHARACTERISTICS
OF
CBOT
WHEAT
FUTURES
PRICE
VOLATILITY.
109
5.5.2
VOLATILITY
EFFECTS
OF
RUSSIAN
GRAIN
TRADE
POLICY
ANNOUNCEMENTS
.
113
5.5.3
MODEL
COMPARISON:
REALIZED
VERSUS
CONDITIONAL
VARIANCE
.
119
5.6
CONDUSIONS
.
120
6
CONDUSIONS
.
125
6.1
SUMMARYOF
RESULTS
.
126
6.2
LIMITATIONS
.
129
6.3
POLICY
RECOMMENDATIONS
AND
BUSINESS
IMPLICATIONS
.
131
6.4
OUTLOOK
.
135
REFERENCES
.
137
APPENDIX
.
153
FIGURES
IN
APPENDIX
.
153
TABLES
IN
APPENDIX
.
159 |
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| author | Heigermoser, Maximilian |
| author_GND | (DE-588)117371099X |
| author_facet | Heigermoser, Maximilian |
| author_role | aut |
| author_sort | Heigermoser, Maximilian |
| author_variant | m h mh |
| building | Verbundindex |
| bvnumber | BV049613439 |
| classification_tum | WIR 044 WIR 207 LAN 051 |
| ctrlnum | (OCoLC)1369492789 (DE-599)DNB1279612916 |
| discipline | Agrarwissenschaft Wirtschaftswissenschaften |
| discipline_str_mv | Agrarwissenschaft Wirtschaftswissenschaften |
| format | Thesis Book |
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| genre | (DE-588)4113937-9 Hochschulschrift gnd-content |
| genre_facet | Hochschulschrift |
| id | DE-604.BV049613439 |
| illustrated | Not Illustrated |
| index_date | 2024-07-03T23:36:30Z |
| indexdate | 2024-07-10T10:12:08Z |
| institution | BVB |
| isbn | 9783959921510 |
| language | English |
| oai_aleph_id | oai:aleph.bib-bvb.de:BVB01-034957598 |
| oclc_num | 1369492789 |
| open_access_boolean | |
| owner | DE-M49 DE-BY-TUM DE-11 |
| owner_facet | DE-M49 DE-BY-TUM DE-11 |
| physical | XX, 169 Seiten Diagramme 21 cm |
| publishDate | 2023 |
| publishDateSearch | 2023 |
| publishDateSort | 2023 |
| publisher | IAMO |
| record_format | marc |
| series | Studies on the agricultural and food sector in transition economies |
| series2 | Studies on the agricultural and food sector in transition economies |
| spelling | Heigermoser, Maximilian Verfasser (DE-588)117371099X aut The rapid rise of Russia's wheat exports price formation, spot-futures relations and volatility effects by Maximilian Heigermoser Halle (Saale) IAMO 2023 XX, 169 Seiten Diagramme 21 cm txt rdacontent n rdamedia nc rdacarrier Studies on the agricultural and food sector in transition economies volume 100 Dissertation Martin Luther University Halle-Wittenberg 2021 Russia wheat exports rapid rise price formation spot-futures relations volatility effects Egypt Turkey Saudi-Arabia Iran Black Sea multivariate cointegration VECM,Vector Error Correction Model Vector Autoregressive VAR-X approach Vector Autoregressive with Exogenous Variable Generalized Autoregressive Conditional Heteroscedasticity GARCH Autoregressive moving average ARMA-X approach (DE-588)4113937-9 Hochschulschrift gnd-content Erscheint auch als Online-Ausgabe Heigermoser, Maximilian The rapid rise of Russia's wheat exports Halle (Saale) : Leibniz Institute of Agricultural Development in Transition Economies (IAMO), 2023 Online-Ressource Studies on the agricultural and food sector in transition economies volume 100 (DE-604)BV044987807 100 B:DE-101 application/pdf https://d-nb.info/1279612916/04 Inhaltsverzeichnis DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034957598&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p dnb 20230605 DE-101 https://d-nb.info/provenance/plan#dnb |
| spellingShingle | Heigermoser, Maximilian The rapid rise of Russia's wheat exports price formation, spot-futures relations and volatility effects Studies on the agricultural and food sector in transition economies |
| subject_GND | (DE-588)4113937-9 |
| title | The rapid rise of Russia's wheat exports price formation, spot-futures relations and volatility effects |
| title_auth | The rapid rise of Russia's wheat exports price formation, spot-futures relations and volatility effects |
| title_exact_search | The rapid rise of Russia's wheat exports price formation, spot-futures relations and volatility effects |
| title_exact_search_txtP | The rapid rise of Russia's wheat exports price formation, spot-futures relations and volatility effects |
| title_full | The rapid rise of Russia's wheat exports price formation, spot-futures relations and volatility effects by Maximilian Heigermoser |
| title_fullStr | The rapid rise of Russia's wheat exports price formation, spot-futures relations and volatility effects by Maximilian Heigermoser |
| title_full_unstemmed | The rapid rise of Russia's wheat exports price formation, spot-futures relations and volatility effects by Maximilian Heigermoser |
| title_short | The rapid rise of Russia's wheat exports |
| title_sort | the rapid rise of russia s wheat exports price formation spot futures relations and volatility effects |
| title_sub | price formation, spot-futures relations and volatility effects |
| topic_facet | Hochschulschrift |
| url | https://d-nb.info/1279612916/04 http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=034957598&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
| volume_link | (DE-604)BV044987807 |
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