This paper examines spillover effects among markets of crude oil and ten major agricultural commodities by employing the Diebold and Yılmaz (2009, 2012) spillover frameworks to returns and EGARCH filtered volatilities. We account for structural variations in data by dividing the data into two subsamples: from July 1986 to December 2005 (pre-2006 subsample) and from January 2006 to June 2016 (post-2006 subsample). Our findings indicate that there is minuscule information transmission among crude oil and agricultural commodities over the pre-2006 subsample, however, crude oil becomes the net receiver of information over the post-2006 subsample. Second, our findings indicate asymmetric and bidirectional flow of information among crude oil and agricultural commodities that intensifies during periods of financial and economic turmoil. Last, net volatility spillover increases in periods of large declines in the crude oil price, such as in 2008 and later in 2014. Overall, we document a more detailed insight into channels of connectedness among the underlying commodities, which may assist developing policy recommendation, portfolio designs, and risk management decisions.

本文采用Diebold andYılmaz（2009，2012）溢出框架对收益和EGARCH过滤后的波动率进行检验，考察了原油和十种主要农产品市场之间的溢出效应。我们通过将数据分为两个子样本来说明数据的结构差异：1986年7月至2005年12月（2006年前的子样本）和2006年1月至2016年6月（2006年后的子样本）。我们的发现表明，2006年之前的子样本中，原油和农产品之间的信息传递微不足道，但是，原油成为2006年之后的子样本中信息的净接收者。其次，我们的发现表明，在金融和经济动荡时期，原油和农产品之间的信息不对称和双向流动加剧了。持续，