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Abstract
The aim of this paper is to analyze the interactions among the prices of some agricultural
commodities in Italy and United States by using the time series analysis method. After a general
overview of the world and European agri-markets, the agricultural commodity and oil prices are
investigated in order to analyze the cross-market interactions and test the hypothesis that the
increased volatility in agricultural prices is caused by the exogenous crude oil prices. For the
analysis the data about the commodity spot price series of wheat, corn, soybeans in US and Italy
and crude oil price are collected. The results suggest: i) the presence of causal nexus with an
exogenous influence of the oil price on the agricultural commodities for the US markets; ii) the
evidence of cointegration between US and Italian commodities supporting the unique price
condition; iii) no clear evidence of causality between oil and Italian agri-commodities, suggesting
that the oil volatility is transmitted directly to the US market and indirectly to the Italian one.