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

Ying-Hui Shao, Yan-Hong Yang and Wei-Xing Zhou

Finance Research Letters, 2025, vol. 75, issue C

Abstract: This study examines spillover effects in the BRICS staple grain futures markets and their linkages with the U.S. markets. Results show that contemporaneous spillovers dominate, while net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets than in those including the U.S., highlighting the U.S. grain market’s significant influence. Brazilian and U.S. grains, excluding rice, are key net spillover contributors, while South African grains serve as major net receivers. Spillovers between soybeans are the strongest. Our findings have implications for policymakers aiming to mitigate systemic risks and for investors managing grain futures portfolios amid geopolitical events.

Keywords: Risk spillovers; Grain futures markets; BRICS; Cross-market linkages; R2 decomposition (search for similar items in EconPapers)
Date: 2025
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Working Paper: Risk spillovers between the BRICS and the U.S. staple grain futures markets (2024)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:75:y:2025:i:c:s154461232500100x

DOI: 10.1016/j.frl.2025.106835

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