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
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.
| Item Type | Article |
|---|---|
| Copyright holders | © The Author(s) 2025 |
| Departments | LSE |
| DOI | 10.1057/s41599-025-06072-4 |
| Date Deposited | 21 Nov 2025 |
| Acceptance Date | 06 Oct 2025 |
| URI | https://researchonline.lse.ac.uk/id/eprint/130278 |
