Abstract:

It is of great significance to study the risk spillover effect between soybean futures markets in China and the United States under extreme circumstances. A dynamic model based on the average method and the method of the bureau of digit conditional value at risk are combined to study. The risk spillover effects of Chinese soybean futures market influenced by policy and economic environment change is studied. And it analyses the risk spillover effects influenced by spot market， downstream products of soybean， macro-economic variables， international market trading， etc. It is found that different policies and economic environments affected the soybean futures market risk spillover effects in different ways， such as reserve policy stability of China’s soybean futures price fluctuations， the night trading system to increase the interaction of the agricultural product futures market of China and the United States to increase the degree of impact on the domestic market in the international market. At the same time， the study shows that each control variable has a different contribution to the change in the risk spillover effect of the Chinese and American agricultural futures markets in different periods. For example， soybean oil futures price and WTI crude oil price have a great influence on the risk spillover effect in the early stage of the night trading system. The impact of shipping indices， exchange rates and WTI crude oil prices was at a low level during the COVID-19 pandemic.

Key words: soybean futures? risk spillover? CoVaR? dynamic model averaging