文献类型：期刊文献

英文题名：The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots

作者：Zhou, Wei-Xing[1,2,3];Dai, Yun-Shi[1];Duong, Kiet Tuan[4];Dai, Peng-Fei[5,6]

机构：[1]East China Univ Sci & Technol, Sch Business, Shanghai 200237, Peoples R China;[2]East China Univ Sci & Technol, Res Ctr Econophys, Shanghai 200237, Peoples R China;[3]East China Univ Sci & Technol, Sch Math, Shanghai 200237, Peoples R China;[4]Univ York, Sch Business & Soc, York YO10 5ZF, England;[5]Wuhan Univ Technol, Sch Management, Wuhan 430070, Peoples R China;[6]Wuhan Univ Technol, Res Inst Digital Governance & Management Decis Inn, Wuhan 430070, Peoples R China

年份：2024

卷号：217

起止页码：91

外文期刊名：JOURNAL OF ECONOMIC BEHAVIOR & ORGANIZATION

收录：;WOS:【SSCI(收录号:WOS:001114975300001)】；

基金：Acknowledgements This work was supported by the National Natural Science Foundation of China (Grant Numbers: 72201099, 72171083) , the Shang-hai Outstanding Academic Leaders Plan, the Fundamental Research Funds for the Central Universities, and the China Postdoctoral Science Foundation (Grant Number: 2023T160217) .

语种：英文

外文关键词：Agricultural futures and spots; Russia-Ukraine conflict; Tail dependence; Risk spillover; Copula-CoVaR; Asymmetric impact

摘要：The ongoing Russia-Ukraine conflict between two major agricultural powers has posed significant threats and challenges to the global food system and world food security. Focusing on the impact of the conflict on the global agricultural market, we propose a new analytical framework for tail dependence, and combine the Copula-CoVaR method with the ARMA-GARCH-skewed Student-t model to examine the tail dependence structure and extreme risk spillover between agricultural futures and spots over the pre-and post-outbreak periods. Our results indicate that the tail dependence structures in the futures-spot markets of soybean, maize, wheat, and rice have all reacted to the Russia-Ukraine conflict. Furthermore, the outbreak of the conflict has intensified risks of the four agricultural markets in varying degrees, with the wheat market being affected the most. Additionally, all the agricultural futures markets exhibit significant downside and upside risk spillovers to their corresponding spot markets before and after the outbreak of the conflict, whereas the strengths of these extreme risk spillover effects demonstrate significant asymmetries at the directional (downside versus upside) and temporal (pre-outbreak versus post-outbreak) levels.