Abstract
This paper analyzes volatility spillovers from energy to agricultural markets in the U.S. which have increased due to strong crude oil price volatility and the large growth in ethanol production in the period 2006-2011. Results suggest that spillovers from crude oil to corn and ethanol markets are similar in magnitude over time, and are particularly significant during periods of high turbulence in the crude oil market. Volatility spillovers between corn and ethanol also exist, but primarily from the corn to ethanol market. The findings provide clear evidence of the stronger linkages between corn and ethanol that have been created during the biofuel era.
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