Price Transmission & Dynamic Connectedness: Consequences of US-China Trade War and the Ukrainian-Russian War in the International Agricultural Commodity Markets

Martignone, G.B. (2025) Price Transmission & Dynamic Connectedness: Consequences of US-China Trade War and the Ukrainian-Russian War in the International Agricultural Commodity Markets. Doctoral thesis, Harper Adams University.

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Abstract

Global agricultural markets face unprecedented challenges from geopolitical tensions, raising concerns about food security and market efficiency. This dissertation examines how the international soybean market's resilience and dynamics respond to major disruptions—specifically the US-China trade war and the Russian-Ukrainian conflict. The research investigates changes in market efficiency, price transmission, and global market integration within the soybean industry during these periods of stress. The study employs multiple econometric approaches to capture both linear and non-linear market relationships. Methods include Vector Error Correction Models (VECM), Time-Varying Parameter Vector Autoregressive (TVP-VAR) models, Quantile Vector Autoregression (QVAR), Threshold Autoregressive (TAR) and Momentum TAR models, alongside the Diebold and Yilmaz connectedness approach. Monthly time-series data (September 2009–May 2019 (ECI,ECII,ECII) and January 2011–January 2023(ECIII)) from key soybean markets were analysed: Chicago Futures, Rotterdam Port, Paranaguá Port, Rosario markets, and Chinese domestic and futures markets. Moreover, a range of agricultural and energy commodities were studied. Results reveal a highly efficient and integrated global soybean market with rapid adjustments to long-term equilibrium despite geopolitical disruptions. Chicago Futures emerges as the primary price leader, though traditional methods struggled to detect structural breaks during market shocks. Overall price transmission is symmetric in these studied markets. The TVP-VAR analysis uncovered evolving market hierarchies, with Paranaguá and Rosario Futures emerging as new price leaders alongside Chicago. The multi-commodity QVAR analysis demonstrated that soybeans consistently drive price spillovers across agricultural, energy, and input markets. This research offers crucial insights for policymakers and market participants navigating an increasingly volatile global commodity landscape. The findings indicate that, although established market mechanisms remain resilient even in the face of trade disputes or armed conflict, the geographic centres of price discovery are shifting. Consequently, it is necessary to adopt adaptive risk management strategies to maintain market stability amid ongoing geopolitical uncertainties.

Item Type:	Thesis (Doctoral)
Divisions:	Harper Adams Business School
Depositing User:	Mrs Susan Howe
Date Deposited:	02 Dec 2025 10:28
Last Modified:	02 Dec 2025 10:28
URI:	https://hau.repository.guildhe.ac.uk/id/eprint/18276

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