The risk transmission mechanism between Geopolitical risks and the international agricultural product market: an analysis based on the cross-quantilogram and TVP-VAR-BK Models

Ren, Xinghan, Wang, Tianning, Liu, Zekai and Xu, Haoqi (2025) The risk transmission mechanism between Geopolitical risks and the international agricultural product market: an analysis based on the cross-quantilogram and TVP-VAR-BK Models. Humanities and Social Sciences Communications, 12 (1). ISSN 2662-9992

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Abstract

Geopolitical risk (GPR) is a critical volatility driver in agricultural futures markets. This paper innovatively integrates the cross-quantilogram approach and TVP-VAR-BK model to construct a two-dimensional framework of “extreme shock - systematic transmission” and use daily data from January 2001 to July 2024 for analysis. Results demonstrate asymmetric responses: grains show immediate sensitivity driven by financialization, while energy-intensive commodities exhibit lagged cost-transmission effects. Core crops (corn, wheat) function as systemic risk transmitters, contrasting with vulnerable receivers. Risk spillovers concentrate predominantly in ultra-short horizons, with crises triggering connectedness surges where GPR transitions to a net receiver. Findings advocate hierarchical mitigation strategies through differentiated reserves and international coordination mechanisms.

Item Type:	Article
Additional Information:	© The Author(s) 2025
Divisions:	LSE
Subjects:	S Agriculture > S Agriculture (General) J Political Science > JZ International relations
Date Deposited:	21 Nov 2025 09:15
Last Modified:	21 Nov 2025 09:15
URI:	http://eprints.lse.ac.uk/id/eprint/130278

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