The study of the risk transfer effect between international grain futures markets,especially the risk spillover effect in extreme circumstances, is the key to preventing import-type international grain risk. The VMD-GARCH-Copula-CoVaR model is used to examine the long- and short-term extreme risk spillover effects between the U.S. and Chinese soybean futures markets. The study finds that:firstly, there is a two-way extreme risk spillover effect between the U.S. and Chinese soybean futures markets, and the extreme risk spillovers from the U.S. to China is stronger than those from China to the U.S.. Secondly, there exist significant asymmetries in China and U.S. soybean extreme risk spillovers, especially in short- and long-term effects of extreme risk spillovers, and more attention should be paid to the long-term effects of extreme risk spillovers. Finally, the agricultural product policy in China affects the extreme risk spillovers from the U.S. to China, and the extreme risk spillovers from the U.S. to China increases after Chinese soybean subsidy policy reform.
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