Risk spillovers between the BRICS and the U.S. staple grain futures markets

TL;DR

This paper analyzes the interconnectedness and spillover effects between BRICS and U.S. staple grain futures markets, highlighting the dominant role of U.S. markets and the varying influence of geopolitical events.

Contribution

It provides a detailed analysis of contemporaneous and lagged spillovers in grain futures markets, emphasizing the U.S. market's influence and the heterogeneity among BRICS countries.

Findings

Contemporaneous spillovers dominate the connectedness.

U.S. grain markets significantly influence BRICS markets.

Soybeans exhibit the strongest spillover effects.

Abstract

This study examines contemporaneous and lagged spillover effects in BRICS staple grain futures markets and their linkages with U.S. markets. The results show that contemporaneous spillovers dominate, while net spillovers are driven by lagged connectedness. Systemic risk is lower in intra-BRICS markets compared to those including the U.S., highlighting the U.S. grain market's significant influence. Brazilian and U.S. grains are key net spillover contributors, excluding U.S. rice, while South African staple grains act as major net receivers. Particularly, the spillover between soybeans is the strongest. The study also reveals heterogeneous impacts of the Russia-Ukraine conflict and Black Sea Grain Initiative on grain futures.