COINTEGRATION BETWEEN THE BLACK SEA AND KANSAS CITY WHEAT FUTURES: THE IMPACT OF RUSSIAN INVASION OF UKRAINE.

We investigate the effect of the Russian invasion of Ukraine on Black Sea Wheat Futures. Black Sea Wheat Futures are cointegrated with the Kansas City Wheat Futures, the global standard for wheat prices; however, the relationship between these two series significantly changes as a reaction to the main geopolitical events in the region. A significant drop in open interest after the invasion is also documented. The results of this study are relevant to many market participants, such as Ukrainian farmers and consumers in developing countries, including the World Food Program, which buys about forty percent of its wheat supplies from Ukraine. [ABSTRACT FROM AUTHOR]