This paper examines the impact of energy price shocks within the U.S. to the corn market prices both in the U.S. and in the world. It allows for structural breaks and identifies the price volatility in the corn markets before and after energy policy changes within the U.S. in 2005 and 2007. In particular, this paper develops structural VAR model and a structural VECM model respectively for the series before and after policy change. Results indicate that there is a substantial difference in the dynamic response of corn prices to an ethanol price shock after the policy change. Findings also suggest that an ethanol price shock is more important and persistent than a gasoline price shock while explaining the corn price volatility in corn markets.