Over the last decade the link between agricultural and oil markets has reinforced after the introduction of biofuels as substitutes for gasoline and diesel. Although the literature on price transmission between these markets is prolific, research on second order moment dynamics is scant. This...

Linkages between agricultural commodity and energy prices have become more complex with increased ethanol production. The concern is whether the new corn–ethanol links lead to volatility spillover transmission between food and energy prices. We investigate asymmetric volatility spillovers...