Investigating Wheat Price with a Multi-Agent Model

TL;DR

This paper develops a multi-agent computational model to analyze international wheat price formation and trade dynamics, calibrated with real data, and assesses the impact of Russia's 2010 export ban on global wheat prices.

Contribution

The paper introduces a calibrated multi-agent model for wheat markets that captures price and trade dynamics across multiple regions, including the impact of policy interventions.

Findings

The model accurately reproduces wheat prices and trade quantities from 1992 to 2013.

The 2010 Russian export ban increased the 2013 world wheat price by approximately 3.55%.

The model demonstrates the significant influence of policy on international commodity prices.

Abstract

In this paper, we build a computational model for the analysis of international wheat spot price formation, its dynamics and the dynamics of internationally exchanged quantities. The model has been calibrated using FAOSTAT data to evaluate its in-sample predictive power. The model is able to generate wheat prices in twelve international markets and wheat used quantities in twenty-four world regions. The time span considered goes from 1992 to 2013. In our study, a particular attention was paid to the impact of Russian Federation's 2010 grain export ban on wheat price and internationally traded quantities. Among other results, we find that wheat average weighted world price in 2013 would have been 3.55\% lower than the observed one if the Russian Federation would not have imposed the export ban in 2010.