Does US-China Trade War Cause Decoupling on Agricultural Trading? Evidence from Spillovers in Soybean Meal Futures Markets

Sammanfattning: This thesis is designed to study the impacts of the US-China trade war on the agricultural trading between the two countries. Through the empirical research on the price and risk spillover effects, the evidence from the soybean meal futures markets are found out. To study the US-China futures price transmission, the VAR model and the cointegration method are applied to the datasets of futures price and the futures return. To study the volatility spillovers, the GARCH model is used to describe the volatility in each of the two markets, and a Diagonal-BEKK model is also applied to study the dynamic volatility correlation. From the empirical results, it is found that both the price and risk spillovers in the US-China soybean meal futures markets are weakened after the breaking out of the trade war. This indicates a decoupling of the US-China trade in the agriculture area.