Uncovering the Sino‐US Dynamic Risk Spillovers Effects: Evidence From Agricultural Futures Markets
使用TVP-VAR-DY模型和分位数方法，研究了2014年至2022年间中美11种农产品期货之间的风险溢出，发现CBOT玉米、大豆和小麦是主要风险输出方，而DCE玉米和大豆是主要风险接收方。
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.