Research on the Dynamic Correlation and Spillover Effects between Shanghai Crude Oil Futures and Domestic Agricultural Product Futures
As the financialization of energy and agricultural product markets continues to increase,the intercon-nection between crude oil futures and agricultural product futures markets is is constantly strengthening.This article se-lects the daily closing price data of Shanghai crude oil futures and four types of domestic agricultural product futures(soybean No.1,soybean No.2,corn,and cotton)from March 27,2018 to December 29,2023.The DCC-GARCH model is used to characterize the dynamic correlation between Shanghai crude oil futures and four domestic ag-ricultural product futures.On this basis,the TVP-VAR-DY model is employed to measure the spillover effects be-tween Shanghai crude oil futures and domestic agricultural product futures from both static and dynamic perspec-tives.The findings are as follows:①Shanghai crude oil futures have a positive correlation with the four types of agricul-tural product futures,with the strongest positive correlation observed with soybean No.2 and cotton futures,and the correlation with corn futures has been on an upward trend since the year 2021.②There is a bidirectional spillover effect between Shanghai crude oil futures and domestic agricultural product futures,but crude oil futures having a greater im-pact on the agricultural product futures market,indicating that fluctuations in the crude oil market have a more pro-nounced impact on the agricultural product futures market.③The spillover effect of Shanghai crude oil futures on soy-bean No.2 and cotton futures is the most significant,followed by corn futures,with the spillover effect on soybean No.1 futures being relatively smaller.Among the four types of agricultural product futures,soybean No.2 exhibits a sig-nificant spillover effect on Shanghai crude oil futures.④The occurrence of extreme events can intensify the spillover lev-el between Shanghai crude oil futures and the domestic agricultural product futures market.Therefore,attention should be paid to the risk contagion between the two markets,and measures should be taken to prevent the impact of crude oil market volatility on agricultural product prices and to maintain the stability of the agricultural product market.
万方数据
维普
