Study on risk spillover of soybean futures market based on dynamic model averaging

In view of the risk aversion problem in agricultural futures markets, it is of great significance to study the risk spillover effect between the US and China soybean futures markets under extreme conditions. This paper combines the dynamic model average method with the local quantile conditional value-at-risk method to study the risk spillover effect of the US soybean futures market on the Chinese soybean futures market affected by policy implementation and economic environment changes, and analyzes the impact of exogenous variables such as the spot market, soybean downstream products, macroeconomic variables and international market transactions on risk spillover. The study found that different policies and economic environments affect the risk spillover effect of the US and China soybean futures markets through different channels. For example, the temporary storage policy stabilizes the volatility of my country's soybean futures prices, the night trading system increases the linkage between the US and China agricultural futures markets, and the exchange rate reform policy increases the impact of the international market on the domestic market. At the same time, it is found that the contributions of various exogenous variables to the changes in the risk spillover effect of the US and China soybean futures markets in different periods are different. For example, in the early stage of the night trading system, soybean oil futures prices and WTI crude oil prices have a greater impact on risk spillover; while during the COVID-19 pandemic, the impact of factors such as shipping index, exchange rate and WTI crude oil price is at a low level.