This study examines the time-varying price risk transmission in the nexus between crude oil and agricultural commodity prices in the context of non-grain-based biofuel producing country. Analysis of the short- and long-run dynamics of volatility in both spot and futures markets of maize, soybean and wheat and crude oil prices using the multivariate BEKK-GARCH model, indicate volatility spillover from wheat futures to crude oil futures in the short run and from crude oil futures to futures markets of maize, soybean and wheat in the long run. The spot market linkage of selected commodities is weaker compared to futures market, wherein maize spot volatility transmits to crude oil spot market in the longer period and no spillover between crude oil-food spot market is observed in the short run. The hedge ratios indicate that a dynamic hedging strategy is crucial for efficient risk management and the portfolio weights in futures market are more than the spot market. The results reveal that cross-market volatility spillover is more evident in the futures market, while own past conditional volatility is more significant in spot price discovery and risk transmission is evident among food commodities futures markets.

JEL Codes: G13, G14, Q11, Q18, Q02

这项研究研究了在非谷物生物燃料生产国的背景下，原油和农产品价格之间的时空价格风险传递。使用多元BEKK-GARCH模型分析玉米，大豆和小麦的现货和期货市场的短期和长期波动动态以及原油价格，表明短期内从小麦期货到原油期货的波动性溢出从长远来看，从原油期货到玉米，大豆和小麦的期货市场。与期货市场相比，精选商品的现货市场联系较弱，其中玉米现货波动在较长时期内会传导至原油现货市场，短期内未观察到原油与食品现货市场之间的溢出。套期比率表明，动态套期策略对于有效的风险管理至关重要，并且期货市场中的投资组合比重比现货市场更大。结果表明，在期货市场中跨市场波动性溢出更为明显，而自身过去的条件波动性在现货价格发现中更为显着，并且在食品商品期货市场之间风险传递明显。

JEL代码： G13，G14，Q11，Q18，Q02