This page has only limited features, please log in for full access.

Unclaimed
Yangmin Ke
College of Economics and Management, Huazhong Agricultural University, Wuhan 430070, Hubei, China

Basic Info

Basic Info is private.

Honors and Awards

The user has no records in this section


Career Timeline

The user has no records in this section.


Short Biography

The user biography is not available.
Following
Followers
Co Authors
The list of users this user is following is empty.
Following: 0 users

Feed

Journal article
Published: 05 January 2019 in Sustainability
Reads 0
Downloads 0

Commodity futures markets play an important role, through risk management and price discovery, in helping firms make sustainable production and marketing decisions. An important related issue is how pricing signals between futures exchanges impact traders’ risk. We address this issue by shedding light on risk transmission between the most mature (U.S.) and the fastest growing (Chinese) commodity futures markets. Gaining greater insight of risk transmission between these key markets is vitally important to firms engaged in the efficient and sustainable trade of commodities needed to feed the world. We examine the risk transmission between Chinese and U.S. agricultural futures markets for soybean, corn, and sugar with a Copula based conditional value at risk (CoVaR) approach. We find significant upside, and to a lesser extent downside risk transmission, between Chinese and U.S. markets. We confirm the dominant pricing role of U.S. agricultural futures markets while acknowledging the increasing price discovery role performed by Chinese markets. Our results highlight that soybean markets exhibit greater risk transmission than sugar and corn markets. We argue that our findings may be explained by Chinese government policy intervention, and by the large role played by U.S. firms in the underlying cash commodity markets–both in terms of production and trade.

ACS Style

Yangmin Ke; Chongguang Li; Andrew M. McKenzie; Ping Liu. Risk Transmission between Chinese and U.S. Agricultural Commodity Futures Markets—A CoVaR Approach. Sustainability 2019, 11, 239 .

AMA Style

Yangmin Ke, Chongguang Li, Andrew M. McKenzie, Ping Liu. Risk Transmission between Chinese and U.S. Agricultural Commodity Futures Markets—A CoVaR Approach. Sustainability. 2019; 11 (1):239.

Chicago/Turabian Style

Yangmin Ke; Chongguang Li; Andrew M. McKenzie; Ping Liu. 2019. "Risk Transmission between Chinese and U.S. Agricultural Commodity Futures Markets—A CoVaR Approach." Sustainability 11, no. 1: 239.