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This paper combines the Copula-CoVaR approach with the ARMA-GARCH-skewedStudent-t model to investigate the tail dependence structure and extreme riskspillover effects between the international agricultural futures and spotmarkets, taking four main agricultural commodities, namely soybean, maize,wheat, and rice as examples. The empirical results indicate that the taildependence structures for the four futures-spot pairs are quite different, andeach of them exhibits a certain degree of asymmetry. In addition, the futuresmarket for each agricultural commodity has significant and robust extremedownside and upside risk spillover effects on the spot market, and the downsiderisk spillover effects for both soybeans and maize are significantly strongerthan their corresponding upside risk spillover effects, while there is nosignificant strength difference between the two risk spillover effects forwheat, and rice. This study provides a theoretical basis for strengtheningglobal food cooperation and maintaining global food security, and has practicalsignificance for investors to use agricultural commodities for risk managementand portfolio optimization.

Tail dependence structure and extreme risk spillover effects between the international agricultural futures and spot markets