{"title":"中国农产品期货市场的价格溢出效应和相互依存性:来自中美贸易争端的证据","authors":"","doi":"10.1016/j.iref.2024.103579","DOIUrl":null,"url":null,"abstract":"<div><p>We examine the effects of the US-China trade dispute on price spillovers and interdependencies among the ten most liquid agricultural futures contracts traded on China's commodity exchanges by employing the time-varying connectedness framework modified by Antonakakis, Chatziantoniou, and Gabauer (2020). We find that the overall market frictions increase modestly due to the clustering of mixed informational disturbances caused by the trade dispute. This lowers the gross spillovers in the entire asset system by reducing the efficiency of general price signal transmission. Notably, subsidiary products of rapeseed and soybean contribute the most to the total and net directional spillovers in the whole market, acting as shock transmitters before the trade dispute. The RBD palm market gains a dominant role as a shock transmitter during the trade dispute and its role strengthens further after the trade agreement was reached. Additionally, the average intensity of pairwise spillovers declines considerably during the trade dispute, suggesting weakening asset interconnectedness. The responsiveness of shock transmission channels to the trade dispute impacts is found to vary across industrial chains and the presence of delayed economic effects is detected in the structural changes of market interdependences.</p></div>","PeriodicalId":14444,"journal":{"name":"International Review of Economics & Finance","volume":null,"pages":null},"PeriodicalIF":4.8000,"publicationDate":"2024-09-05","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"0","resultStr":"{\"title\":\"Price spillovers and interdependences in China's agricultural commodity futures market: Evidence from the US-China trade dispute\",\"authors\":\"\",\"doi\":\"10.1016/j.iref.2024.103579\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"<div><p>We examine the effects of the US-China trade dispute on price spillovers and interdependencies among the ten most liquid agricultural futures contracts traded on China's commodity exchanges by employing the time-varying connectedness framework modified by Antonakakis, Chatziantoniou, and Gabauer (2020). We find that the overall market frictions increase modestly due to the clustering of mixed informational disturbances caused by the trade dispute. This lowers the gross spillovers in the entire asset system by reducing the efficiency of general price signal transmission. Notably, subsidiary products of rapeseed and soybean contribute the most to the total and net directional spillovers in the whole market, acting as shock transmitters before the trade dispute. The RBD palm market gains a dominant role as a shock transmitter during the trade dispute and its role strengthens further after the trade agreement was reached. Additionally, the average intensity of pairwise spillovers declines considerably during the trade dispute, suggesting weakening asset interconnectedness. The responsiveness of shock transmission channels to the trade dispute impacts is found to vary across industrial chains and the presence of delayed economic effects is detected in the structural changes of market interdependences.</p></div>\",\"PeriodicalId\":14444,\"journal\":{\"name\":\"International Review of Economics & Finance\",\"volume\":null,\"pages\":null},\"PeriodicalIF\":4.8000,\"publicationDate\":\"2024-09-05\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"0\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"International Review of Economics & Finance\",\"FirstCategoryId\":\"96\",\"ListUrlMain\":\"https://www.sciencedirect.com/science/article/pii/S1059056024005719\",\"RegionNum\":2,\"RegionCategory\":\"经济学\",\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"Q1\",\"JCRName\":\"BUSINESS, FINANCE\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"International Review of Economics & Finance","FirstCategoryId":"96","ListUrlMain":"https://www.sciencedirect.com/science/article/pii/S1059056024005719","RegionNum":2,"RegionCategory":"经济学","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"Q1","JCRName":"BUSINESS, FINANCE","Score":null,"Total":0}
Price spillovers and interdependences in China's agricultural commodity futures market: Evidence from the US-China trade dispute
We examine the effects of the US-China trade dispute on price spillovers and interdependencies among the ten most liquid agricultural futures contracts traded on China's commodity exchanges by employing the time-varying connectedness framework modified by Antonakakis, Chatziantoniou, and Gabauer (2020). We find that the overall market frictions increase modestly due to the clustering of mixed informational disturbances caused by the trade dispute. This lowers the gross spillovers in the entire asset system by reducing the efficiency of general price signal transmission. Notably, subsidiary products of rapeseed and soybean contribute the most to the total and net directional spillovers in the whole market, acting as shock transmitters before the trade dispute. The RBD palm market gains a dominant role as a shock transmitter during the trade dispute and its role strengthens further after the trade agreement was reached. Additionally, the average intensity of pairwise spillovers declines considerably during the trade dispute, suggesting weakening asset interconnectedness. The responsiveness of shock transmission channels to the trade dispute impacts is found to vary across industrial chains and the presence of delayed economic effects is detected in the structural changes of market interdependences.
期刊介绍:
The International Review of Economics & Finance (IREF) is a scholarly journal devoted to the publication of high quality theoretical and empirical articles in all areas of international economics, macroeconomics and financial economics. Contributions that facilitate the communications between the real and the financial sectors of the economy are of particular interest.