Risk Spillover Effect Between International Crude Oil Futures And Chinese Agricultural Product Futures Under The Impact Of Extreme Event

With the continuous development of economic integration and commodity financialization,the linkage between futures markets has been strengthened,and the risk spillover effect between various sectors has been significantly improved.As an important resource and strategic commodity,crude oil plays a very important role in the normal operation of the national economy.The changes in crude oil prices have attracted much attention,and the crude oil futures market has also become one of the world’s key financial markets.At present,the occurrence of geopolitical crises and the outbreak of the new crown epidemic have led to sharp fluctuations in crude oil futures market prices,and the probability of extreme risk spillover has increased.As a large importer of crude oil,the fluctuation of crude oil futures prices is bound to affect the stability of China’s futures market.Crude oil as the "king of commodities",the price change of crude oil futures price will affect the production cost of agricultural fertilizers,pesticides,transportation and other production costs,crude oil futures price fluctuations will be through price transmission and macroeconomic policy transmission and then impact China’s agricultural futures market.Based on this,studying the risk spillover effect between the international crude oil futures market and Chinese agricultural futures market is of great significance to actively conveying the risk transmission relationship between international crude oil market and Chinese agricultural futures market,and is of practical significance for maintaining the stability of Chinese agricultural futures market.This paper takes the financial crisis,Sino-US trade friction and the COVID-19 as the background of extreme events,and takes the Brent futures market and Chinese agricultural futures market,corn,soybean No.1 and white sugar futures as the research objects,and the research period is from January 1,2007 to June 30,2022.In this paper,after testing the stationarity of the yield series in each futures market,the GARCH-Copula-CoVaR model is established to measure the risk spillover between the international crude oil futures market and the Chinese agricultural futures market.Firstly,the GARCH(1,1)model was used to fit the conditional edge distribution of each futures yield series.Then,the optimal Copula function is selected to describe the dependence structure between the international crude oil futures market and the Chinese agricultural futures market based on the maximum relief value,AIC and BIC minimum information criteria,and finally the ΔCoVaR and %CoVaR values between the international crude oil futures market and the Chinese agricultural futures market are calculated based on the optimal Copula function,and the risk spillover direction and risk spillover intensity of the two markets are analyzed.The empirical results of this article show that At present,the international crude oil futures market has certain correlation with my country’s agricultural futures market.Among them The correlation of the crude oil futures market is weak;the international crude oil futures market,the yellow soybean futures market and the white sugar futures market have a two-way risk overflow effect,and there is only one-way risk overflow effect with the yellow corn futures market;extreme event impact impact In the following,the risk overflow of the international crude oil futures market and my country’s agricultural futures market will be the most obvious during the financial crisis.With the continuous development of biofuel land and the continuous development and maturity of Chinese agricultural futures market,the linkage between Chinese agricultural futures market and the international crude oil market will be more enhanced in the future.This paper only preliminarily studies the risk spillover effect of the international crude oil futures market and the Chinese agricultural futures market,and discusses the dependence relationship between the two markets and the risk spillover strength,but when depicting the dependence structure,only the static model is considered,and the relevant time-varying characteristics are not considered,which will need to be further studied and improved.