This study investigates the impact of the COVID-19 pandemic and the Russia-Ukraine war on the interconnectedness of U.S. and Chinese agricultural futures markets. Using wavelet coherence analysis (WCA) and time-varying parameter vector autoregression (TVP-VAR), the study finds that both events altered the correlation and lead-lag comovement between soybean and corn futures returns in both countries, but had minimal impact on cotton futures. The U.S. markets exhibited greater volatility risk transmission to China. The war's impact on risk spillover was stronger than the pandemic's, particularly for soybean and corn futures.
