Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets

ABSTRACT With economic globalization and the financialization of agricultural products continuing to advance, the interconnections between different agricultural futures have become closer. We utilize a TVP‐VAR‐DY model combined with the quantile method to measure the risk spillover between 11 agricultural futures in the United States and China from July 9, 2014, to December 31, 2022. We obtain several findings. First, CBOT corn, soybean, and wheat are identified as the primary risk transmitters, with DCE corn and soybean as the main risk receivers. Second, sudden events or increased economic uncertainty can enlarge the overall risk spillovers. Third, there is an aggregation of risk spillovers amongst agricultural futures based on the dynamic directional spillovers. Lastly, the central agricultural futures under the conditional mean are CBOT corn and soybean, while CZCE hard wheat and long‐grained rice are the two risk‐spillover centers in extreme cases, as per the results of the spillover network and minimum spanning tree.

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Publication Details

Journal
Journal of Futures Markets
Published
2024-08-30
DOI
https://doi.org/10.1002/fut.22551
Citations
11
Primary Topic
Market Dynamics and Volatility
Type
article
Field-Weighted Citation Impact
12.42
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article

Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets

Wei‐Xing Zhou, Peng‐Fei Dai, Hanyu Zhu
11 citations
Journal of Futures Markets
Market Dynamics and Volatility
12.42
article

Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets

Wei‐Xing Zhou, Peng‐Fei Dai, Hanyu Zhu
article en
11 citations

Abstract

ABSTRACT With economic globalization and the financialization of agricultural products continuing to advance, the interconnections between different agricultural futures have become closer. We utilize a TVP‐VAR‐DY model combined with the quantile method to measure the risk spillover between 11 agricultural futures in the United States and China from July 9, 2014, to December 31, 2022. We obtain several findings. First, CBOT corn, soybean, and wheat are identified as the primary risk transmitters, with DCE corn and soybean as the main risk receivers. Second, sudden events or increased economic uncertainty can enlarge the overall risk spillovers. Third, there is an aggregation of risk spillovers amongst agricultural futures based on the dynamic directional spillovers. Lastly, the central agricultural futures under the conditional mean are CBOT corn and soybean, while CZCE hard wheat and long‐grained rice are the two risk‐spillover centers in extreme cases, as per the results of the spillover network and minimum spanning tree.

Journal of Futures MarketsVol. 44(12)
East China University of Science and Technology (CN), Wuhan University of Technology (CN)
Openalex Percentile: Top 2%
Market Dynamics and Volatility
12.42
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