Abstract
<title>Abstract</title> <p>The Black Sea Grain Initiative reopened Ukraine's seaborne grain exports under an agreement signed in July 2022, and although grain flowed for a year, the market never stopped questioning whether the corridor would hold, until it collapsed in July 2023. Because the price of grain over this period reflected both the grain that was physically missing and the market's fear that shipments would be cut off again, this study sets out to separate the two, treating the second as the price of corridor risk itself. To measure that risk, a two-regime Markov switching model of daily wheat and maize futures recovers a market-implied probability that the corridor is under stress, and this probability follows the events of the Initiative closely, rising from near zero before the war to 0.7625 around the invasion and 0.4860 around the collapse. Over the year the corridor was open, when grain was moving freely, a shift from calm to stressed belief raised the wheat price by 0.4790 log points, an effect that holds at the one percent level and across specifications. This fear premium fell most heavily on developing economies, which bore 65.6 percent of the added import cost, and as the crisis wore on the grain itself moved toward wealthier buyers, with the high-income share of Ukrainian exports rising from 29.8 to 59.7 percent. JEL codes: Q17, F14, G13, Q18, F51.</p>