The US-China trade war and the volatility linkages between energy and agricultural commodities
研究了中美贸易战如何影响原油与农产品市场的价格波动关联，发现大豆波动对贸易战反应最强烈，且贸易战对多数农产品的影响超过全球金融危机和新冠疫情。
Any disruptive changes in the competitive environment, such as the U.S.-China trade war, may influence the price volatility of crude oil and agricultural commodities. This study examines the volatility linkage between crude oil and agricultural commodity markets in the context of the U.S.-China trade war and compares the impact of the trade war with that of other exogenous shocks. The results show that the volatility of soybeans exhibits the highest level of responsiveness to the U.S.-China trade war - which is not surprising given that the U.S. agribusiness trade to China is dominated by soybeans - followed by coffee and cotton. The sizes and dynamics of the impacts of shocks are largely commodity-specific. Notably, the trade war impacts most agricultural commodities more extensively than other exogenous shocks, including the global financial crisis and the COVID-19 pandemic and associated recession. These findings matter not only for the decision-making of investors and portfolio managers but also for commodity-exporting and importing countries because changes in the volatility dynamics of crude oil and agricultural commodities often impact export revenues and import expenditures and consequently feed through exports to the global supply chain under exogenous shocks such as the U.S.-China trade war.