The Risk Spillover Relationship Between Major Agricultural Commodities in China and the US

DOI

10.2991/978-94-6463-538-6_25How to use a DOI?

Keywords

Risk spillover; Commodity Prices; Agricultural products

Abstract

As economic globalization continues to deepen, fluctuations in international commodity prices have had significant impacts on economies worldwide. As China, the major importer of commodities, is particularly noteworthy in terms of the risk spillover between its agricultural prices and international commodity prices. This paper employs D-Y methodology based on vector autoregressive (VAR) model to examine the spillover effects of major agricultural commodities in China and the US. Results indicate that there is a significant spillover effect of international commodity price fluctuations on China’s agricultural product prices, with a marked response to black swan events such as the COVID-19 pandemic and the Russo-Ukrainian conflict.

Copyright

© 2024 The Author(s)

Open Access

Open Access This chapter is licensed under the terms of the Creative Commons Attribution-NonCommercial 4.0 International License (http://creativecommons.org/licenses/by-nc/4.0/), which permits any noncommercial use, sharing, adaptation, distribution and reproduction in any medium or format, as long as you give appropriate credit to the original author(s) and the source, provide a link to the Creative Commons license and indicate if changes were made.

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TY  - CONF
AU  - Zhibo Fan
PY  - 2024
DA  - 2024/10/01
TI  - The Risk Spillover Relationship Between Major Agricultural Commodities in China and the US
BT  - Proceedings of the 4th International Conference on Economic Development and Business Culture (ICEDBC 2024)
PB  - Atlantis Press
SP  - 221
EP  - 233
SN  - 2352-5428
UR  - https://doi.org/10.2991/978-94-6463-538-6_25
DO  - 10.2991/978-94-6463-538-6_25
ID  - Fan2024
ER  -