The risk transmission mechanism between Geopolitical risks and the international agricultural product market: an analysis based on the cross-quantilogram and TVP-VAR-BK Models

Xinghan Ren (), Tianning Wang, Zekai Liu and Haoqi Xu
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Xinghan Ren: Xi’an Jiaotong-Liverpool University
Tianning Wang: Hohai University
Zekai Liu: Fuzhou University
Haoqi Xu: London School of Economics and Political Science

Humanities and Social Sciences Communications, 2025, vol. 12, issue 1, 1-15

Abstract: Abstract Geopolitical risk (GPR) is a critical volatility driver in agricultural futures markets. This paper innovatively integrates the cross-quantilogram approach and TVP-VAR-BK model to construct a two-dimensional framework of “extreme shock - systematic transmission” and use daily data from January 2001 to July 2024 for analysis. Results demonstrate asymmetric responses: grains show immediate sensitivity driven by financialization, while energy-intensive commodities exhibit lagged cost-transmission effects. Core crops (corn, wheat) function as systemic risk transmitters, contrasting with vulnerable receivers. Risk spillovers concentrate predominantly in ultra-short horizons, with crises triggering connectedness surges where GPR transitions to a net receiver. Findings advocate hierarchical mitigation strategies through differentiated reserves and international coordination mechanisms.

Date: 2025
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DOI: 10.1057/s41599-025-06072-4

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