Exploring the Energy–Agriculture Price Nexus: Evidence of Cross Mar-ket Linkages and Volatility Spillover Effects

Janani A; Jansirani K; Dr. Vijayakumari Joseph

doi:https://doie.org/10.10399/BMEE.2026849644

DOI: https://doie.org/10.10399/BMEE.2026849644

Abstract

Energy and agriculture are critical areas for the global economy, impacting economic development, food security, inflation, and trade dynamics. Their interconnectedness is significant since agriculture is significantly reliant on energy inputs like gasoline, electricity, and fertilisers. This study investigates the relationship between energy and agricultural commodity prices in India, with an emphasis on cross-market linkages and volatility spillover effects. Using monthly Wholesale Price Index (WPI) data from 2013 to 2025 for crude oil, natural gas, paddy, and wheat, the study employs econometric approaches such as the Augmented Dickey-Fuller test, Johansen cointegration test, Vector Error Correction Model (VECM), and DCC-GARCH model. The results show that all variables are integrated to order one and have strong long-run connections. Findings reveal that energy prices drive agricultural prices, confirming unidirectional causality. Major volatility spillovers and time-varying correlations are also noted, indicating robust market integration and major policy and risk management implications.

Keyword : Energy Prices, Agricultural Commodities, Wholesale Price Index (WPI), Cointegration, Time Series Analysis.,

How to Cite

A, J., K, J. & Joseph, D. V. (2026). Exploring the Energy–Agriculture Price Nexus: Evidence of Cross Mar-ket Linkages and Volatility Spillover Effects. Business, Management and Economics Engineering, 24(1), 1-8. https://doie.org/10.10399/BMEE.2026849644

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Jan 05, 2026

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