High fuel prices combined with legislative policies have increased biofuel production causing high food prices and establishing a link between energy and agricultural markets. This paper examines price relationships between agricultural food and energy commodities over the recent decade. A structural change analysis on weekly prices of crude oil, gasoline, ethanol, corn and wheat is conducted. The presence and the nature of structural breaks are empirically tested on single prices and on the price relationships. A cointegration analysis is conducted accounting for the presence of structural breaks. We find that commodity prices have experienced structural changes both at price levels and in the price relationships. The energy and food commodity prices exhibit long run relationships when structural breaks are considered. The break dates identified are in line with biofuel policy interventions and changes in policy regimes in the United States.


Downloads Statistics

Download Full History