School of Economics, Hangzhou Normal University, Hangzhou 311121, China.
Int J Environ Res Public Health. 2022 Aug 25;19(17):10593. doi: 10.3390/ijerph191710593.
This paper aims to apply the time-varying Granger causality test (TVGC) and the DY Spillover Index (Diebold and Yilmaz, 2012) to measure the Granger causality and dynamic risk spillover effects of the international crude oil futures market on China's agricultural commodity futures market from the perspectives of return and volatility spillovers. Empirical evidence relating to the TVGC test suggests the existence of unidirectional Granger causality between crude oil futures and agricultural product futures. This relationship shows a strong time-varying property, in particular for sudden or extreme events such as financial crises and natural disasters. On the other hand, the volatility spillover in crude oil and agricultural product futures markets responds asymmetrically and bidirectionally according to the result of the DY Spillover index, and the periodicity of total volatility spillover correlates closely with the occurrence of global economic events, which indicates that the spillover effect between crude oil and agricultural commodity futures markets will be exacerbated in turbulent financial and economic times. Such findings are expected to help in formulating policy recommendations, portfolio design, and risk-management decisions.
本文旨在应用时变 Granger 因果检验（TVGC）和 DY 溢出指数（Diebold 和 Yilmaz，2012），从收益率和波动率溢出两个角度，测量国际原油期货市场对中国农产品期货市场的 Granger 因果关系和动态风险溢出效应。TVGC 检验的实证证据表明，原油期货和农产品期货之间存在单向 Granger 因果关系。这种关系具有很强的时变特征，特别是在金融危机和自然灾害等突发事件期间。另一方面，根据 DY 溢出指数的结果，原油和农产品期货市场的波动溢出呈现出不对称和双向的反应，总波动溢出的周期性与全球经济事件的发生密切相关，这表明在动荡的金融和经济时期，原油和农产品期货市场之间的溢出效应将加剧。这些发现有望为政策制定、投资组合设计和风险管理决策提供帮助。
