Spillover Effects of Energy and Grain Futures Volatility: Time‐Varying Impacts of WTI, Natural Gas, and EUA Futures on U.S. Wheat, Corn, and Soybean Markets

This study investigates the time‐varying impacts of WTI crude oil (WTI), natural gas, and EU Allowance (EUA) futures on U.S. wheat, corn, and soybean markets using thermal optimal path (TOP) analysis and time‐varying parameter vector autoregression (TVP‐VAR) models. The findings reveal dynamic heterogeneity in price transmission mechanisms between energy and agricultural markets. WTI crude oil affects grain prices through its impact on biofuel demand and shipping costs, while natural gas directly influences wheat markets via its effect on fertilizer production costs. EUA futures exhibit long‐term policy effects with weaker short‐term impacts. Empirical results demonstrate that extreme events significantly amplify the transmission of energy shocks to grain markets, with notable differences in sensitivity to energy price fluctuations across grain varieties. The study provides empirical evidence for agricultural risk management, energy policy formulation, and climate governance, suggesting a future exploration of long‐term policy shocks on energy‐agriculture linkages.