  This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewed
Student-t model to investigate the tail dependence structure and extreme risk
spillover effects between the international agricultural futures and spot
markets, taking four main agricultural commodities, namely soybean, maize,
wheat, and rice as examples. The empirical results indicate that the tail
dependence structures for the four futures-spot pairs are quite different, and
each of them exhibits a certain degree of asymmetry. In addition, the futures
market for each agricultural commodity has significant and robust extreme
downside and upside risk spillover effects on the spot market, and the downside
risk spillover effects for both soybeans and maize are significantly stronger
than their corresponding upside risk spillover effects, while there is no
significant strength difference between the two risk spillover effects for
wheat, and rice. This study provides a theoretical basis for strengthening
global food cooperation and maintaining global food security, and has practical
significance for investors to use agricultural commodities for risk management
and portfolio optimization.
