The shocks and integrations of COVID-19 pandemic on Chinese agricultural markets: comparative empirical evidence from China and other countries

Hou, Xiaokang; Cheng, Guoqiang; Liu, Tianjun; Mao, Qianqian; Fahad, Shah; Zhang, Qiangqiang

doi:10.1590/0103-8478cr20220312

Xiaokang Hou

conceptualization

writing-original draft

writing-review and editing

School of Agricultural economics and Rural development, Renmin University of China, Beijing, 100872, China.

https://orcid.org/0000-0003-3918-5113

Guoqiang Cheng ^*E-mail: gcheng@ruc.edu.cn. *Corresponding author.

conceptualization

writing-original draft

writing-review and editing

School of Agricultural economics and Rural development, Renmin University of China, Beijing, 100872, China.

https://orcid.org/0009-0005-9207-8079

Tianjun Liu

conceptualization

writing-original draft

writing-review and editing

Department of Economics and Management, Northwest A&F University, Yangling, China.

https://orcid.org/0000-0001-7974-1394

Qianqian Mao

conceptualization

writing-original draft

writing-review and editing

Department of Economics, Zhejiang University of Technology, Hangzhou, China

https://orcid.org/0000-0001-5821-4229

Shah Fahad

conceptualization

writing-original draft

writing-review and editing

School of Management, Hainan University, Haikou, China.

https://orcid.org/0000-0002-7080-3031

Qiangqiang Zhang

conceptualization

writing-original draft

writing-review and editing

Department of Economics and Management, Beijing University of Agriculture, Beijing, China.

https://orcid.org/0000-0002-5270-9957

E-mail: gcheng@ruc.edu.cn. ^*Corresponding author.

Editors: Rudi Weiblen (0000-0002-1737-9817) Daniel Arruda Coronel (0000-0003-0264-6502)

DECLARATION OF CONFLICT OF INTEREST

The authors declare no conflict of interest.

AUTHORS’ CONTRIBUTIONS

All authors contributed equally to the conception and writing of this manuscript. All authors critically revised the manuscript and approved of the final version.

Variables	-----Max-----	---Median---	-----Min-----	-----Mean-----	------SD------	--Skewness--	---Kurtosis---
R_Us	2.961	0.011	-2.862	0.025	0.685	-0.835	15.363
R_Uk	3.744	0.008	-2.643	0.020	0.743	0.201	15.523
R_Ch	2.894	0.014	-3.075	0.029	0.733	0.603	26.163
R_In	3.855	0.029	-3.038	0.024	0.912	0.362	19.144

	-------Variable-------	------Coefficient------	------Std. Error------	----GED Statistic----	--------P-value--------
E(R_Ch)	C	0.014	0.202	-0.467^*	0.052
	AR (1)	-0.276	0.013	38.207^***	0.000
	MA (1)	0.177	0.310	119.002^***	0.005
	α₀	0.030	0.001	4.426^*	0.073
	ARCH (1)	0.057	0.309	9.553^***	0.005
	GARCH (1)	0.929	0.001	84.521^*	0.082
E(R_Us)	C	0.026	0.411	0.603^***	0.000
	AR (1)	0.301	0.129	-29.980^***	0.000
	MA (1)	0.202	0.456	-99.866^**	0.036
	α₀	0.011	0.000	3.054^**	0.012
	ARCH (1)	0.043	0.311	11.956^***	0.000
	GARCH (1)	0.932	0.001	90.857^**	0.041
E(R_Uk)	C	0.011	0.310	0.621^***	0.000
	AR (10)	0.263	0.243	-29.730^**	0.031
	AR (2)	0.121	0.222	-79.901^***	0.000
	MA (1)	-0.194	0.121	7.029^***	0.003
	MA (2)	-0.233	0.009	1339.053^***	0.000
	α₀	0.032	0.011	4.101^***	0.000
	ARCH (1)	0.017	0.009	6.506^***	0.000
	GARCH (1)	0.954	0.014	49.710^***	0.000
E(R_In)	C	0.013	0.419	0.453^***	0.000
	AR (1)	-0.301	0.409	19.920^*	0.060
	AR (2)	0.276	0.220	-47.208^***	0.000
	MA (1)	0.110	0.178	-10.988^***	0.001
	MA (2)	0.308	0.011	-1205.068^***	0.000
	α₀	0.0300	0.071	11.923^**	0.032
	ARCH (1)	0.045	0.019	12.320^***	0.000
	GARCH (1)	0.921	0.014	59.090^***	0.000

Windows	--US--	t-Stats	P-Value	-UK-	t-Stats	P-Value	China	t-Stats	P-Value	India	t-Stats	P-Value
[-10，-6]	0.063	1.760^*	0.077	0.055	1.915^*	0.065	0.043	1.771^*	0.063	0.039	1.400	0.255
[-5，-5]	0.020	2.399^**	0.045	0.036	1.065	0.355	-0.059	-2.370^**	0.033	0.034	1.602	0.147
[-5，-1]	0.049	4.655^***	0.001	0.044	2.012^**	0.065	-0.119	-3.031^***	0.000	0.035	1.671^*	0.091
[-10，-1]	0.029	2.908^***	0.000	0.036	3.087^***	0.000	-0.169	-3.823^***	0.000	0.029	1.134	0.106
[-1，-1]	-0.076	-4.281^***	0.000	-0.066	-14.199^***	0.001	-0.096	-4.982^***	0.001	-0.020	-2.553^**	0.079
[0，0]	-0.129	-5.092^***	0.000	-0.097	-13.753^***	0.000	-0.119	-5.433^***	0.000	-0.073	-3.810^***	0.000
[1，1]	-0.131	-5.558^***	0.000	-0.101	-15.959^***	0.000	-0.122	-5.983^***	0.001	-0.084	-4.557^***	0.005
[1，5]	-0.497	-14.961^***	0.001	-0.478	-30.625^***	0.001	-0.392	-12.430^**	0.052	-0.342	-17.446^***	0.000
[6，10]	-0.520	-14.647^***	0.000	-0.485	-29.655^***	0.003	-0.253	-11.381^***	0.003	-0.391	-19.507^***	0.006
[11，15]	-0.507	-12.537^***	0.002	-0.461	-27.752^***	0.000	-0.179	-10.907^***	0.005	-0.482	-21.203^***	0.001
[16，20]	-0.463	-11.981^***	0.004	-0.446	-20.670^***	0.000	-0.143	-12.026^***	0.000	-0.599	-25.291^***	0.007
[0，10]	-0.518	-11.351^***	0.000	-0.480	-25.579^***	0.001	-0.341	-14.920^***	0.001	-0.371	-20.980^***	0.000
[11，20]	-0.487	-17.872^***	0.006	-0.466	-25.902^***	0.000	-0.152	-13.659^***	0.000	-0.569	-32.091^***	0.000
[0，20]	-0.500	-20.660^***	0.000	-0.479	-28.449^***	0.000	-0.289	-17.802^***	0.000	-0.519	-31.092^***	0.001
[-10，20]	-0.471	-16.900^***	0.000	-0.453	-26.056^***	0.001	-0.434	-16.650^***	0.000	-0.496	-29.051^***	0.000

Significance level	----------------10%----------------		----------------5%----------------		----------------1%----------------
Critical values	I(0)	I(1)	I(0)	I(1)	I(0)	I(1)
	5.59	6.26	6.56	7.30	8.74	9.63
F-Bound test	Corn: F₇=11.037; indica rice: F₈=7.022; Soybean: F₁₀=8.966; Soybean oil: F₁₁=9. 338; Soybean meal: F₁₂=6.491; Palm oil: F₁₃=6.927; Wood: F₁₆=4.712				8.74	9.63
Significance level	----------------10%----------------		----------------5%----------------		----------------1%----------------
Critical values	I(0)	I(1)	I(0)	I(1)	I(0)	I(1)
	4.19	5.06	4.87	5.85	6.34	7.52
F-Bound test	----------------------------Wheat: F₉=6.691; Sugar: F₁₄=3.565; Cotton: F₁₅=6.023----------------------------

Long-run	--------Variable--------	------Coefficient------	-----------S.E----------	-------t-Statistic-------	--------P-Value--------
China-US corn	R_{Ch_n}(-1)	0.923	0.031	30.246^***	0.000
	R_{Us_n}	-0.080	0.031	-2.573**	0.003
Equation (7)	R_{Us_n}(-1)	-0.126	0.020	-6.436^***	0.000
	C	28.989	12.557	2.309***	0.045
China-US indica: Equation (8)	R_{Ch_r}(-1)	0.915	0.188	4.867^***	0.000
	R_{Us_r}	0.190	0.246	0.775	0.240
	R_{Us_r}(-1)	0.290	0.102	2.837^***	0.008
	C	31.071	18.501	1.679*	0.064
China-US-UK wheat: Equation (9)	R_{Ch_w}(-1)	0.928	0.020	45.955^***	0.000
	R_{Us_w}	-0.168	0.036	-4.703***	0.000
	R_{Us_w}(-1)	-0.1702	0.020	-8.344^***	0.000
	R_{Uk_w}	-0.100	0.062	-1.612	0.133
	R_{Uk_w}(-1)	-0.127	0.056	-2.279^**	0.048
	C	-41.558	26.870	-1.547	0.004
Short-run	Variable	Coefficient	S.E	t-Statistic	P-Value
Corn: Equation (17)	∆R_{Ch_n} & ∆_{RUs_n}	-0.215	0.025	-8.713***	0.0000
Indica: Equation (18)	∆R_{Ch_r} &∆R_{Us_r}	-0.154	0.050	-3.101^***	0.000
Wheat: Equation (19)	∆R_{Ch_w}&∆R_{Us_w}	-0.119	0.029	-4.165***	0.000
	∆R_{Ch_w} &∆R_{Uk_w}	-0.101	0.049	-2.055^**	0.000

Long-run	-----Variable-----	---Coefficient---	-------S.E.-------	t-Statistic	---P-Value---
China-US soybean: Equation (10)	R_{Ch_b}(-1)	0.926	0.015	61.618^***	0.000
	R_{Us_b}	-0.200	0.019	-10.432***	0.000
	C	19.378	10.866	1.783^*	0.081
China-US soybean oil: Equation (11)	R_{Ch_o}(-1)	0.919	0.030	31.146***	0.000
	R_{Us_o}	-0.2159	0.023	-9.485^***	-0.000
	C	37.756	19.002	1.987**	0.041
China-US soybean meal:Equation (12)	R_{Ch_m}(-1)	0.936	0.0410	22.873^***	0.000
	R_{Us_m}	0.177	0.033	5.401***	0.000
	C	22.300	12.119	1.840^*	0.071
China-India Palm Oil:Equation (13)	R_{Ch_p}(-1)	0.920	0.037	25.137***	0.000
	R_{In_p}	0.180	0.099	1.831^*	0.086
	R_{In_p}(-1)	0.192	0.070	2.736**	0.030
	C	23.770	14.037	1.693^*	0.041
Short-run	Variable	Coefficient	S.E.	t-Statistic	P-Value
Soybean: Equation (20)	∆R_{Ch_b} &∆R_{Us_b}	-0.1840	0.023	-8.000^***	0.000
Soybean oil: Equation (21)	∆R_{Ch_o} & ∆R_{Us_o}	-0.120	0.015	-8.276***	0.000
Soybean meal: Equation (22)	∆R_{Ch_m} & ∆R_{Us_m}	-0.100	0.020	-5.149^***	0.000
Palm oil: Equation (23)	∆R_{Ch_p} & ∆_{RIn_p}	-0.134	0.058	-2.261*	0.040

Long-run	------Variable------	----Coefficient----	---------S.E.---------	t-Statistic （显著水平）	----P - Value----
China-US-India cotton: Equation (15)	R_{Ch_c} (-1)	0.925	0.060	15.499^***	0.000
	R_{Us_c}	0.139	0.097	1.432	0.000
	R_{Us_c} (-1)	0.161	0.074	2.160^**	0.012
	R_{In_c}	0.101	0.087	1.163	0.111
	R_{In_c} (-1)	0.090	0.051	1.790^*	0.075
	C	27.020	19.007	1.422	0.118
Short-run	Variable	Coefficient	S.E	t-Statistic（显著水平）	P - Value
Cotton: Equation (24)	∆R_Ch__c & _{^∆RUs_c}	-0.113	0.023	-4.965^***	-0.000
	_{^∆RCh_c} & _{^∆RIn_c}	-0.104	0.049	-2.147^*	-0.021

[1] E-mail: gcheng@ruc.edu.cn. ^*Corresponding author.

Brasil

Brasil

The shocks and integrations of COVID-19 pandemic on Chinese agricultural markets: comparative empirical evidence from China and other countries

Os choques e integrações da pandemia da COVID-19 nos mercados agrícolas chineses: evidências empíricas comparativas da China e de outros países

ABSTRACT: