This paper broadens the analysis of the interactions between energy and agricultural commodity markets by focusing on five major commodities: oil, natural gas, soybean, corn, and ethanol, and intends to provide more updated information regarding the degree of the connection among the markets. We estimate a DCC-MGARCH model to accommodate the dynamic and changing degree of interconnections among the five markets with respect to price levels and price volatilities. In doing so, we control for additional economic variables including oil and gas inventories, interest rate spread, exchange rate and economic activities. Our empirical evidence suggests that there are varying degrees of interconnections among the energy and agricultural commodities in the long term as well as the short term, but the interactions among the agricultural commodities and ethanol are generally higher than the interactions between oil and gas and agricultural markets. In addition, we reveal some weak evidence of commodity market speculation. The estimated conditional volatility correlations suggest that volatility spillovers among the markets were time dependent and dynamic.
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