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

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

Papers from arXiv.org

Abstract: This study examines contemporaneous and lagged spillover effects in BRICS staple grain futures markets and their linkages with U.S. markets. The results show that contemporaneous spillovers dominate, while net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets compared to those including the U.S., highlighting the U.S. grain market's significant influence. Brazilian and U.S. grains are key net spillover contributors, excluding U.S. rice, while South African staple grains act as major net receivers. Particularly, the spillover between soybeans is the strongest. The study also reveals heterogeneous impacts of the Russia-Ukraine conflict and Black Sea Grain Initiative on grain futures.

Date: 2024-12, Revised 2024-12
New Economics Papers: this item is included in nep-cis and nep-mac
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