经济学院2019年第六次学术研讨会

——宏观经济研讨班（三）

主讲人: 柯杨敏 博士研究生

单  位：华中农业大学 经济管理学院

题  目: Risk Spillovers between U.S. and Chinese Agricultural Futures Markets: from the Perspective of Decomposed Daily Returns

时  间: 2019年4月24日（周三）晚上19:00

地  点: 经济学院402会议室

                                 经济学院

                             2019年4月16日

摘要：This paper examines the risk spillovers effect between U.S. and Chinese agricultural futures markets with three popular commodities, i.e., soybean, sugar and corn, from the prospective of decomposed daily returns. The conditional value at risk (CoVaR) measure is employed, and it is estimated with a dynamic BB1 Copula model. According to a systemic detection and comparison of the risk spillovers through the Kolmogorov-Smirnov bootstrapping test, the leading role of U.S. markets is emphasized while the importance of Chinese markets is also documented. It is notable that the overnight session is the main source of risk spillover comparing with the daytime session. Furtherly, upside risk spillovers are commonly greater than the downside. Finally, risk spillovers of soybean are higher than sugar and sugar is higher than corn.