Uncovering the Sino-US dynamic risk spillovers effects: Evidence from agricultural futures markets
arxiv(2024)
摘要
Agricultural products play a critical role in human development. 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
on the futures exchanges of US and China from July 9,2014, to December 31,2022.
This study yielded several significant findings. Firstly, CBOT corn, soybean,
and wheat were identified as the primary risk transmitters, with DCE corn and
soybean as the main risk receivers. Secondly, sudden events or increased
economic uncertainty can increase the overall risk spillovers. Thirdly, there
is an aggregation of risk spillovers amongst agricultural futures based on the
dynamic directional spillover results. 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. Based on these
results, decision-makers are advised to safeguard against the price risk of
agricultural futures under sudden economic events, and investors can utilize
the results to construct a superior investment portfolio by taking different
agricultural product futures as risk-leading indicators according to various
situations.
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