Geopolitical Risks and China's Commodity Market Spillovers from the Quartile Perspective
In recent years,geopolitical events have increased,highlighting the spillover between geopolitical risks and bulk commodities.Based on China's commodity futures data,the study employs the quantile spillover network model and the frequency domain decomposition to investigate the risk spillover effects between the geopolitical risk of the extreme right tail and the risk spillover effect of the extreme state(left tail and right tail)commodities compared with the conventional state.The findings indicate that under normal circumstances,the spillover network formed by geopolitical risks and commodity futures is sparse and dominated by self-feedback spillovers.However,during extreme conditions,the network becomes tightly connected,with a notable increase in cross spillovers and a decrease in self-feedback spillovers,indicating a diffusion effect where risks spread externally.Geopolitical risks typically act as risk receivers in normal states but become strong risk emitters during right-tail conditions,particularly evident during critical periods like 2020 and 2022,which had a profound impact on China's commodity market.In terms of frequency domain spillovers,while short-term spillovers are prominent in normal conditions,both short-term and long-term spillover effects are significant during extreme situations.Notably,crude oil plays a key role in cross spillovers,showing significant outward spillovers in extreme periods,while soybean meal shifts from a risk emitter to a receiver.These findings are crucial for understanding the complex relationship between geopolitical risks and commodity markets.
万方数据
维普
