The Impact of Geopolitical Risks on Agricultural Commodity Future Returns in China:Analysis Based on the T VP-VAR-SV Model
This paper employs the TVP-VAR-SV model to explore the time-varying impact of geo-political risks(China and the United States)on the agricultural commodity futures'returns in China.The research findings indicate that in the short term,geopolitical risks have a significant effect on the agricultural commodity future returns.While in the medium or long term,the volatility of agricultural commodity future returns is relatively smaller.Different agricultural commodity futures exhibit var-ying responses to the shock of geopolitical risks with soybean and soybean meal returns experiencing the most significant fluctuations.However,the other six agricultural commodity futures show the cy-clical patterns.Three extreme events,namely the Crimea crisis,the US-China trade frictions and the global COVID-19 pandemic have negative impact on the agricultural commodity future market in dif-ferent periods.Moreover,the shocks of geopolitical risks exhibit lags and heterogeneity to different future contracts.
geopolitical risksagricultural commodity futuresreturnsTVP-VAR-SV model
国家科技期刊平台
NSTL
万方数据
维普
