Stage‐Adaptive Hedging for Geopolitical Risk Spillovers in Crops: The Role of Battlefront Geography in the Russia–Ukraine Conflict
研究俄乌冲突中作物市场的地缘政治风险溢出，发现小麦和玉米因种植区靠近战场而溢出减弱，大豆因地理隔离保持稳定，并提出基于对冲效率阈值的动态对冲策略。
ABSTRACT Against the backdrop of the Russia–Ukraine conflict, this paper advances the literature on agricultural risk spillovers by integrating conflict geography, stage‐dependent dynamics, and policy interactions. Employing the BEKK‐GARCH model, we document that wheat and corn markets—with 38%–34% of their total plantings overlapping active conflict zones in northern/eastern Ukraine—exhibit weakened spillovers, whereas soybeans in geographically isolated western regions maintain stability. We develop a unified cross‐crop model to one‐step estimate geopolitics‐and‐stage‐dependent spillover coefficients, while corroborating subsample‐based findings. Hedging efficiency ( HE ) exhibits a nonmonotonic U‐shaped relationship with generalized autoregressive conditional heteroskedasticity (GARCH) spillover intensity, peaking at 0.97 for US wheat under extreme negative spillovers. We accordingly propose an HE ‐threshold dynamic hedging strategy that effectively avoids low‐effectiveness periods without sacrificing valuable hedging opportunities. This study establishes the primacy of production geography in spillover resilience and highlights the need for stage‐adaptive hedging strategies to mitigate supply chain vulnerabilities in geopolitically volatile markets.