Dynamic dependence of futures basis between the Chinese and international grains markets-ECMODE

Published: 31 October 2023| Version 2 | DOI: 10.17632/7v2pgc4zxb.2


We try to investigate the time- and frequency-based dynamic linkages between the bases of the Chinese and global grain markets over the period 2012-2022. Leveraging the DCC-GARCH and the wavelet-vine copula models, we analyze the bases of corn and wheat which are two pivotal commodities in the global grain trade. Our results show that the volatility of bases is comparatively subdued relative to the volatility in futures prices and the dynamic linkages of bases between markets are moderate. We also find that a pronounced positive correlation emerges between the international bases of corn and wheat, whereas the dynamic linkage of the Chinese wheat base with international markets remains less pronounced. Furthermore, the depth and nature of these interdependent structures exhibit variations across different time scales. As China dominates as the premier grain importer globally, the insights from this study are important for refining global grain trading strategies and crafting adept risk management strategies, especially in the backdrop of unpredictable global grain price shifts triggered by external disturbances. We include the install software of R, the code, the data, and a Readme file explaining how to interpret and use the data in the folder.



Jilin University


Finance, Commodity Market