Quantile-based left-tail risk contagion across international and China's grain futures markets

This article measures tail risks and examines the contagion of left-tail risks across international and China's grain futures markets, including rice, wheat, corn, and soybean, based on the conditional autoregressive value at risk model (CAViaR) and the quantile vector autoregression model (QVAR). The result first reveals that a significant tail risk contagion is transmitted from the international market to the China's market, with the international corn market serving as the principal risk transmitter and China's wheat/soybean market acting as the primary risk receivers. In addition, an imbalance is evident within the China's grain futures market. Secondly, tail risk contagion is much higher under extreme conditions compared to normal conditions. Furthermore, contagion during these extreme conditions demonstrates a distinct asymmetry, with a more pronounced effect observed under extremely low market condition than in extremely high market condition. Third, tail risk contagion is notably intensified during periods of crises, and the intensity of contagion exhibits heterogeneity across different crisis periods, specifically, risk contagion effects are more pronounced during global health and geopolitical compared to economic crises.