Risk spillovers between the BRICS and the U.S. staple grain futures markets
Fuente:
arXiv
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| Autores principales: | , , |
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| Formato: | Preprint |
| Publicado: |
2024
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| Materias: | |
| Acceso en línea: | |
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| _version_ | 1866912169824616448 |
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| author | Shao, Ying-Hui Yang, Yan-Hong Zhou, Wei-Xing |
| author_facet | Shao, Ying-Hui Yang, Yan-Hong Zhou, Wei-Xing |
| contents | This study examines contemporaneous and lagged spillover effects in BRICS staple grain futures markets and their linkages with U.S. markets. The results show that contemporaneous spillovers dominate, while net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets compared to those including the U.S., highlighting the U.S. grain market's significant influence. Brazilian and U.S. grains are key net spillover contributors, excluding U.S. rice, while South African staple grains act as major net receivers. Particularly, the spillover between soybeans is the strongest. The study also reveals heterogeneous impacts of the Russia-Ukraine conflict and Black Sea Grain Initiative on grain futures. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2412_15738 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Risk spillovers between the BRICS and the U.S. staple grain futures markets Shao, Ying-Hui Yang, Yan-Hong Zhou, Wei-Xing Risk Management This study examines contemporaneous and lagged spillover effects in BRICS staple grain futures markets and their linkages with U.S. markets. The results show that contemporaneous spillovers dominate, while net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets compared to those including the U.S., highlighting the U.S. grain market's significant influence. Brazilian and U.S. grains are key net spillover contributors, excluding U.S. rice, while South African staple grains act as major net receivers. Particularly, the spillover between soybeans is the strongest. The study also reveals heterogeneous impacts of the Russia-Ukraine conflict and Black Sea Grain Initiative on grain futures. |
| title | Risk spillovers between the BRICS and the U.S. staple grain futures markets |
| topic | Risk Management |
| url | https://arxiv.org/abs/2412.15738 |