Is there co-movement of agricultural commodities futures prices and crude oil?

Even though significant attempts have appeared in literature, the current perception of co‐movement of commodity prices appear inadequate and static. In particular we focus on price movements between crude oil futures and a series of agricultural commodities and gold futures. A comparative framework is applied to identify changes in relationships through time and various cointegration methodologies and causality tests are employed. Our results indicate that co‐movement is a dynamic concept and that some economic and policy development may change the relationship between commodities. Furthermore we show that biofuel policy buffers the co‐movement of crude oil and corn futures until the crude oil prices surpass a certain threshold.