ABSTRACT
This paper aims to apply the time-varying Granger causality test (TVGC) and the DY Spillover Index (Diebold and Yilmaz, 2012) to measure the Granger causality and dynamic risk spillover effects of the international crude oil futures market on China's agricultural commodity futures market from the perspectives of return and volatility spillovers. Empirical evidence relating to the TVGC test suggests the existence of unidirectional Granger causality between crude oil futures and agricultural product futures. This relationship shows a strong time-varying property, in particular for sudden or extreme events such as financial crises and natural disasters. On the other hand, the volatility spillover in crude oil and agricultural product futures markets responds asymmetrically and bidirectionally according to the result of the DY Spillover index, and the periodicity of total volatility spillover correlates closely with the occurrence of global economic events, which indicates that the spillover effect between crude oil and agricultural commodity futures markets will be exacerbated in turbulent financial and economic times. Such findings are expected to help in formulating policy recommendations, portfolio design, and risk-management decisions.