The Asymmetric Tail Risk Spillover from the International Soybean Market to China’s Soybean Industry Chain

Abstract

China is the largest soybean importer and consumer in the world. Soybean oil is the most-consumed vegetable oil in China, while soybean meal is the most important protein feed raw material in China, which affects the costs of animal husbandry. Volatility in the international soybean market would generate risk spillovers to China’s soybean industrial chain. This paper analyzed the channel of risk spillover from the international soybean market to China’s soybean industry chain and the asymmetry of the risk spillover. The degree of risk spillover from the international soybean market to the Chinese soybean industry chain was measured by the Copula–CoVaR model. The moderating role of inventory and demand in asymmetric risk spillovers was analyzed by quantile regression. We draw the following conclusions: First, the international soybean market impacts China’s soybean industry chain through soybeans rather than soybean meal and oil. The price fluctuation of China soybean market is obviously lower than that of the international soybean market. Second, there are apparent asymmetric risk spillovers from the international soybean market to China’s soybean industry chain, especially the soybean meal market. Third, increasing the Chinese soybean inventory and growing demand could effectively prevent the downside risk spillover from international markets to China’s soybean market. This also explains the asymmetry of risk spillovers. The research enriches the research perspective on food security, and the analysis of risk spillover mechanisms provides a scientific basis for relevant companies to develop risk-management strategies.