Agricultural commodities are significant trade items, affecting food security, trade balances, and agricultural policies, and agricultural policies are also affected by trade balances. The paper will discuss the linkages between agricultural commodity markets, and address the impact of shocks in one market on another. We measure the spillovers between the major agricultural commodities like corn, wheat, soybeans and rice using Vector Auto Regression (VAR) models and the Diebold-Yilmaz connectedness framework. The results show that there are very strong linkages between the markets, with relevant policy and investment implications.
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