Assessing the Relationship Between Crude Oil and Commodities Prices: Evidence from Tranquil and Crisis Periods

This study investigates the relationship between crude oil and agricultural prices. Findings reveal limited causal connections among commodities during periods of stability. However, crude oil emerges as a critical driver of causal patterns during crises. Bidirectional connections between crude and soybean oil are frequently influenced by biofuel demand and crises. Crude oil shows the most connections with corn, followed by soybean oil and wheat. The dynamic correlation results confirm a robust correlation between crude and soybean oil. Finally, price bubbles exist for all commodities, with varying duration and intensity.