IDEAS home Printed from https://ideas.repec.org/a/ags/areint/337439.html
   My bibliography  Save this article

Risk assessment of shock periods and investment attractiveness of agroholdings of Ukraine

Author

Listed:
  • Klymenko, Nataliia
  • Voronenko, Iryna
  • Nehrey, Maryna
  • Rogoza, Konstyantyn
  • Rogoza, Nataliy

Abstract

Purpose. This paper deals with analysis and assessment of the risks specific to the agricultural business under conditions of macroeconomic uncertainty associated with the war unleashed by russia on the territory of Ukraine. The performed study included the stability analysis of the agricultural holdings in Ukraine before and after the shock period, and their investment attractiveness. Methodology / approach. In the research process, a combination of methods of risk analysis of Ukrainian agricultural holdings during the shock period and the speed of recovery of their investment attractiveness was proposed. Daily stock rates of selected agricultural holdings served as information support for calculations. The sample was subdivided into three periods: before the shock, which was characterized by a certain level of stability; the shock period caused by the war; and the recovery period after the shock. The study was carried out with the use of the shock depth indication and the recovery level following the shock, the risk analysis based on VaR and CVaR approach and forecasting of further liquidity curve of the agricultural producers based on Holt-Winters’ model. Results. The depth of the fall in the shock period (Sd) and the level of recovery after the shock period (Rl) for agricultural holdings of Ukraine have been established. The Sd indicator ranged from -44 % to 71 %, and Rl averaged 56 %, which confirmed the insignificant level of recovery of capitalization of agricultural holdings. Positive trends of overcoming the shock period were established for all studied agricultural holdings of Ukraine. A significant difference in the liquidity of assets of agricultural holdings was revealed. Originality / scientific novelty. The originality of the research is the approbation of a set of methods that allow simultaneously considering various features of the manifestation of risks caused by russian full-scale armed aggression. Practical value / implications. The practical value of the research lies in the determination of the negative impact of the risks of shock periods and the assessment of the investment attractiveness of agricultural holdings, which can be used for decision-making. The proposed approaches can be recommended for the analysis of other agricultural enterprises and for potential investors in other periods of significant changes and in the post-war period.

Suggested Citation

  • Klymenko, Nataliia & Voronenko, Iryna & Nehrey, Maryna & Rogoza, Konstyantyn & Rogoza, Nataliy, 2023. "Risk assessment of shock periods and investment attractiveness of agroholdings of Ukraine," Agricultural and Resource Economics: International Scientific E-Journal, Agricultural and Resource Economics: International Scientific E-Journal, vol. 9(2), June.
    • Handle: RePEc:ags:areint:337439
    DOI: 10.22004/ag.econ.337439
    as

    Download full text from publisher

    File URL: https://ageconsearch.umn.edu/record/337439/files/7_Klymenko_article.pdf
    Download Restriction: no
    File URL: https://libkey.io/10.22004/ag.econ.337439?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    References listed on IDEAS

    as
    1. Peter R. Winters, 1960. "Forecasting Sales by Exponentially Weighted Moving Averages," Management Science, INFORMS, vol. 6(3), pages 324-342, April.
    2. Voronenko, Iryna & Skrypnyk, Andriy & Klymenko, Nataliia & Zherlitsyn, Dmytro & Starychenko, Yevhenii, 2020. "Food security risk in Ukraine: assessment and forecast," Agricultural and Resource Economics: International Scientific E-Journal, Agricultural and Resource Economics: International Scientific E-Journal, vol. 6(4), December.
    3. Paul, Pascal, 2020. "A macroeconomic model with occasional financial crises," Journal of Economic Dynamics and Control, Elsevier, vol. 112(C).
    4. Giuseppe Celi & Dario Guarascio & Jelena Reljic & Annamaria Simonazzi & Francesco Zezza, 2022. "The Asymmetric Impact of War: Resilience, Vulnerability and Implications for EU Policy," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 57(3), pages 141-147, May.
    5. Saskia Osendarp & Gerda Verburg & Zulfiqar Bhutta & Robert E. Black & Saskia de Pee & Cecilia Fabrizio & Derek Headey & Rebecca Heidkamp & David Laborde & Marie T. Ruel, 2022. "Act now before Ukraine war plunges millions into malnutrition," Nature, Nature, vol. 604(7907), pages 620-624, April.
    6. Thomas Glauben & Miranda Svanidze & Linde Götz & Sören Prehn & Tinoush Jamali Jaghdani & Ivan Đurić & Lena Kuhn, 2022. "The War in Ukraine, Agricultural Trade and Risks to Global Food Security," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 57(3), pages 157-163, May.
    7. Oleksii Mohylnyi & Nataliia Patyka & Anatolii Kucher & Vitaliy Krupin & Agnieszka Siedlecka & Marcin Wysokiński, 2022. "Features of Agrarian Sector Deregulation in the Context of Martial Law: Shocks in Food Security," Sustainability, MDPI, vol. 14(20), pages 1-26, October.
    8. Dibrova, Anatolii & Dibrova, Larysa & Chmil, Alla & Dibrova, Maksym & Нuz, Mykhailo, 2022. "Modeling the impact of mineral fertilizer costs on effectiveness of production and export corn from Ukraine," Agricultural and Resource Economics: International Scientific E-Journal, Agricultural and Resource Economics: International Scientific E-Journal, vol. 8(3), September.
    9. Racicot, François-Éric & Théoret, Raymond, 2016. "Macroeconomic shocks, forward-looking dynamics, and the behavior of hedge funds," Journal of Banking & Finance, Elsevier, vol. 62(C), pages 41-61.
    10. Daniel Fiott, 2022. "The Fog of War: Russia’s War on Ukraine, European Defence Spending and Military Capabilities," Intereconomics: Review of European Economic Policy, Springer;ZBW - Leibniz Information Centre for Economics;Centre for European Policy Studies (CEPS), vol. 57(3), pages 152-156, May.
    11. Alison Bentley, 2022. "Broken bread — avert global wheat crisis caused by invasion of Ukraine," Nature, Nature, vol. 603(7902), pages 551-551, March.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Cherevko, Heorhiy, 2024. "Challenges for the Agriculture of Ukraine During the War and Directions of Its Development," Roczniki (Annals), Polish Association of Agricultural Economists and Agribusiness - Stowarzyszenie Ekonomistow Rolnictwa e Agrobiznesu (SERiA), vol. 2024(01).
    2. Denafas, Gintaras & Ruzgas, Tomas & Martuzevičius, Dainius & Shmarin, Sergey & Hoffmann, Michael & Mykhaylenko, Valeriy & Ogorodnik, Stanislav & Romanov, Mikhail & Neguliaeva, Ekaterina & Chusov, Alex, 2014. "Seasonal variation of municipal solid waste generation and composition in four East European cities," Resources, Conservation & Recycling, Elsevier, vol. 89(C), pages 22-30.
    3. François-Éric Racicot & Raymond Théoret, 2022. "Tracking market and non-traditional sources of risks in procyclical and countercyclical hedge fund strategies under extreme scenarios: a nonlinear VAR approach," Financial Innovation, Springer;Southwestern University of Finance and Economics, vol. 8(1), pages 1-56, December.
    4. Koehler, Anne B. & Snyder, Ralph D. & Ord, J. Keith, 2001. "Forecasting models and prediction intervals for the multiplicative Holt-Winters method," International Journal of Forecasting, Elsevier, vol. 17(2), pages 269-286.
    5. Ramos, Francisco López & Batres, Rafael & De-la-Cruz-Márquez, Cynthia Griselle & Anzures, Melina López, 2023. "Optimization models for nopal crop planning with land usage expansion and government subsidy," Socio-Economic Planning Sciences, Elsevier, vol. 89(C).
    6. Caravella, Serenella & Crespi, Francesco & Cucignatto, Giacomo & Guarascio, Dario, 2023. "Technological Sovereignty and Strategic Dependencies: The case of the Photovoltaic Supply Chain," GLO Discussion Paper Series 1330, Global Labor Organization (GLO).
    7. Andreas Renard Widarto & Harjum Muharam & Sugeng Wahyudi & Irene Rini Demi Pangestuti, 2022. "ASEAN-5 and Crypto Hedge Fund: Dynamic Portfolio Approach," SAGE Open, , vol. 12(2), pages 21582440221, April.
    8. Holt, Charles C., 2004. "Author's retrospective on 'Forecasting seasonals and trends by exponentially weighted moving averages'," International Journal of Forecasting, Elsevier, vol. 20(1), pages 11-13.
    9. Baloglu, Ulas Baran & Demir, Yakup, 2018. "Lightweight privacy-preserving data aggregation scheme for smart grid metering infrastructure protection," International Journal of Critical Infrastructure Protection, Elsevier, vol. 22(C), pages 16-24.
    10. Schroth, Josef, 2021. "Macroprudential policy with capital buffers," Journal of Monetary Economics, Elsevier, vol. 118(C), pages 296-311.
    11. Meira, Erick & Cyrino Oliveira, Fernando Luiz & de Menezes, Lilian M., 2022. "Forecasting natural gas consumption using Bagging and modified regularization techniques," Energy Economics, Elsevier, vol. 106(C).
    12. Rossi, Barbara, 2013. "Advances in Forecasting under Instability," Handbook of Economic Forecasting, in: G. Elliott & C. Granger & A. Timmermann (ed.), Handbook of Economic Forecasting, edition 1, volume 2, chapter 0, pages 1203-1324, Elsevier.
    13. Chen, Jiandong & Xu, Chong & Shahbaz, Muhammad & Song, Malin, 2021. "Interaction determinants and projections of China’s energy consumption: 1997–2030," Applied Energy, Elsevier, vol. 283(C).
    14. Reiter, Michael & Zessner-Spitzenberg, Leopold, 2023. "Long-term bank lending and the transfer of aggregate risk," Journal of Economic Dynamics and Control, Elsevier, vol. 151(C).
    15. Danilo Đokić & Bojan Matkovski & Marija Jeremić & Ivan Đurić, 2022. "Land Productivity and Agri-Environmental Indicators: A Case Study of Western Balkans," Land, MDPI, vol. 11(12), pages 1-13, December.
    16. Lucian IVAN & Irena (ARADAVOAICEI) APOLZAN & Cosmin Sandu BADELE, 2023. "Predictions Of The Social And Economic Impact Of Global Trends," Contemporary Economy Journal, Constantin Brancoveanu University, vol. 8(1), pages 145-152.
    17. Calmès, Christian & Théoret, Raymond, 2020. "Bank fee-based shocks and the U.S. business cycle," The North American Journal of Economics and Finance, Elsevier, vol. 51(C).
    18. Daniela Pencheva, 2020. "Use of Factors Related to the Consumption of Fast Moving Consumer Goods in Business Intelligence System for Managing Orders to Suppliers in Retail Chain," Izvestia Journal of the Union of Scientists - Varna. Economic Sciences Series, Union of Scientists - Varna, Economic Sciences Section, vol. 9(2), pages 124-135, August.
    19. Collard, Fabrice & Boissay, Frédéric & Galì, Jordi & Manea, Cristina, 2021. "Monetary Policy and Endogenous Financial Crises," TSE Working Papers 21-1277, Toulouse School of Economics (TSE), revised Apr 2023.
    20. Azumah Karim & Ananda Omotukoh Kube & Bashiru Imoro Ibn Saeed, 2020. "Modeling of Monthly Meteorological Time Series," Journal of Statistical and Econometric Methods, SCIENPRESS Ltd, vol. 9(4), pages 1-8.

    More about this item

    Keywords

    Agribusiness; Agricultural Finance;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ags:areint:337439. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: AgEcon Search (email available below). General contact details of provider: http://are-journal.com/are .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.