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Risk spillovers between the BRICS and the U.S. staple grain futures markets

Author

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  • Shao, Ying-Hui
  • Yang, Yan-Hong
  • Zhou, Wei-Xing

Abstract

This study examines spillover effects in the BRICS staple grain futures markets and their linkages with the U.S. markets. Results show that contemporaneous spillovers dominate, while net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets than in those including the U.S., highlighting the U.S. grain market’s significant influence. Brazilian and U.S. grains, excluding rice, are key net spillover contributors, while South African grains serve as major net receivers. Spillovers between soybeans are the strongest. Our findings have implications for policymakers aiming to mitigate systemic risks and for investors managing grain futures portfolios amid geopolitical events.

Suggested Citation

  • Shao, Ying-Hui & Yang, Yan-Hong & Zhou, Wei-Xing, 2025. "Risk spillovers between the BRICS and the U.S. staple grain futures markets," Finance Research Letters, Elsevier, vol. 75(C).
    • Handle: RePEc:eee:finlet:v:75:y:2025:i:c:s154461232500100x
    DOI: 10.1016/j.frl.2025.106835
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    Keywords

    Risk spillovers; Grain futures markets; BRICS; Cross-market linkages; R2 decomposition;
    All these keywords.

    JEL classification:

    • R2 - Urban, Rural, Regional, Real Estate, and Transportation Economics - - Household Analysis

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