Abstract
This study aims to analyze the risk spillover effects between the global crude oil market and the biofuel ethanol and corn markets in China, employing a DCC-GARCH-Copula-CoVaR model and basing the weekly price data from 2012 to 2021. The empirical results revealed that there were dynamic conditional correlations among international crude oil, China's biofuel ethanol, and corn markets. Following the COVID-19 outbreak, the CoVaR and ΔCoVaR changed, which caused a sharp increase in the mean values and volatility. Additionally, China's biofuel ethanol market is more vulnerable to the risk spillovers from the international crude oil market than China's corn market. However, China's markets do not appear to have obvious risk spillover effects on the global market. The implications of the results are discussed in financial market supervision, including the risk management and portfolio adjustment.
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