Tail risk spillovers between international agricultural commodity and China's financial markets: based on quantile time-frequency perspective

Xianming Huang, Luying Liu, Heng Jiang and Yuqi Pu

Finance Research Letters, 2025, vol. 78, issue C

Abstract: This paper integrates the QVAR model with various spillover indices to investigate tail risk transmissions between global agricultural commodities and China's financial markets. The findings reveal that international agricultural commodity markets serve as significant risk sources, while China's financial markets primarily act as risk recipients. Notably, short-term spillovers dominate tail risk contagion, characterized by asymmetric U-shaped structure across quantiles. As the increased tail dependence of these markets, our study underscores the importance for policymakers to adopt timely measures in response to extreme market conditions, advocating for strengthened regulations and diversified portfolio strategies.

Keywords: Tail risk; Agricultural commodity Market; Financial market; Quantile time-frequency connectedness (search for similar items in EconPapers)
Date: 2025
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:78:y:2025:i:c:s1544612325004829

DOI: 10.1016/j.frl.2025.107219

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