Abstract This article investigates the direct impact of energy prices (Crude Oil and Natural Gas) on agricultural markets (wheat, maize, soybeans) and the indirect effect through fertilizers using monthly data covering the period from January 1990 to February 2021. Additionally, the analysis is further extended up to 2024. The conditional covariances of energy and fertilizer prices capture the spikes in the 2008 crisis and the volatile time after, and the deterministic nonlinear Fourier trends eliminate the unit root problem. The results show that agricultural prices are affected directly by changes in energy prices and indirectly through fertilizer prices.
Bor et al. (Tue,) studied this question.