The impact of the Russia-Ukraine conflict on the extreme risk spillovers between agricultural futures and spots

Wei-Xing Zhou, Yun-Shi Dai, Kiet Tuan Duong, Peng-Fei Dai*

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review


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.
Original languageEnglish
Pages (from-to)91-111
Number of pages21
JournalJournal of Economic Behavior and Organization
Early online date16 Nov 2023
Publication statusPublished - 1 Jan 2024


  • Agricultural futures and spots
  • Russia-Ukraine conflict
  • Tail dependence
  • Risk spillover
  • Copula-CoVaR
  • Asymmetric impact

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