  The ongoing Russia-Ukraine conflict between two major agricultural powers has
posed significant threats and challenges to the global food system and world
food security. Focusing on the impact of the conflict on the global
agricultural market, we propose a new analytical framework for tail dependence,
and combine the Copula-CoVaR method with the ARMA-GARCH-skewed Student-t model
to examine the tail dependence structure and extreme risk spillover between
agricultural futures and spots over the pre- and post-outbreak periods. Our
results indicate that the tail dependence structures in the futures-spot
markets of soybean, maize, wheat, and rice have all reacted to the
Russia-Ukraine conflict. Furthermore, the outbreak of the conflict has
intensified risks of the four agricultural markets in varying degrees, with the
wheat market being affected the most. Additionally, all the agricultural
futures markets exhibit significant downside and upside risk spillovers to
their corresponding spot markets before and after the outbreak of the conflict,
whereas the strengths of these extreme risk spillover effects demonstrate
significant asymmetries at the directional (downside versus upside) and
temporal (pre-outbreak versus post-outbreak) levels.
