IDEAS home Printed from https://ideas.repec.org/p/arx/papers/2412.15738.html
   My bibliography  Save this paper

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

Author

Listed:
  • Ying-Hui Shao
  • Yan-Hong Yang
  • Wei-Xing Zhou

Abstract

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.

Suggested Citation

  • Ying-Hui Shao & Yan-Hong Yang & Wei-Xing Zhou, 2024. "Risk spillovers between the BRICS and the U.S. staple grain futures markets," Papers 2412.15738, arXiv.org, revised Dec 2024.
    • Handle: RePEc:arx:papers:2412.15738
    as

    Download full text from publisher

    File URL: http://arxiv.org/pdf/2412.15738
    File Function: Latest version
    Download Restriction: no
    ---><---

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:arx:papers:2412.15738. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: arXiv administrators (email available below). General contact details of provider: http://arxiv.org/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.