sample. Natural gas also shows a price spike in the early 2000s. The surge in soybean oil prices dates back to the mid-1970s and 1980s; in both cases it is related to major supply shortages in the United States. Unlike energy and agricultural prices, the prices of sugar and coffee do not appear to co-move. Sugar prices are rather stable over the entire sample period, while coffee prices peak in the late 1970s, mid-1990s and in 2011. Such peaks are all likely associated with bad weather conditions in Brazil and, more recently, in Colombia.

Our empirical analysis is based on month-to-month nominal commodity price returns, defined as _rm,t_ = ln _Pm,t −_ ln _Pm,t−_ 1, where _Pm,t_ is the price of commodity _m_ at time _t_ .<sup>6</sup> By means of a breakpoint analysis based on Qu and Perron (2007), whose technical details are described in Appendix A.1, we estimate breakpoints in the dynamics of the 11 commodity price returns in the sample. We consider an unrestricted vector autoregressive (VAR) model for the returns and estimate three breaks at unknown dates in the model coefficients and the variance-covariance matrix of the errors. The breaks we find are 1979M11, 1987M07 and 2007M05.<sup>7</sup> The empirical investigation that follows is conducted on the full sample and on the four resulting subsamples, (S1) 1970M02-1979M10, (S2) 1979M11-1987M06, (S3) 1987M07-2007M04 and (S4) 2007M05-2013M05. As shown in Figure 1, the identified structural breaks generally coincide with significant events in energy and agricultural markets, which likely affected the dynamics of price returns. The first break can be associated with the Iranian revolution in 1979 and the subsequent war between Iran and Iraq, which led to a global oil crisis. The second break can be related to the severe droughts that occurred across most states in the United States and led to a major crop failure for soybeans and maize in 1988. The third break can be linked with the recent food price crisis, which started in 2007.

Table 1 reports summary statistics for the price returns computed over the full sample. Table 5 in Appendix B reports the same statistics computed over the four previously determined subsamples. Crude oil exhibits the highest average monthly returns (0.8%) over the full sample. The average returns of all commodities are higher in the 1970M02-1979M10 period than in the other subperiods. All average price returns fall in the subsequent 1979M11-1987M06 period, then generally and steadily rise until the end of the sample. However, in most cases, they do not reach the initial levels of the 1970s. Maize and sorghum are the only two commodities that show higher returns in the most recent subperiod relative to the first subperiod (approximately a 50 percent increase in the case of maize and a 14 percent increase in the case of sorghum). Besides crude oil, the other two energy commodities and coffee show the most pronounced return decreases over time. The patterns of volatility are more mixed. Natural gas price returns are overall the most volatile. The price returns of sugar are similarly volatile. Crude oil and sugar are the most volatile commodities until almost the end of the 1980s. Barley, sugar, natural gas and coffee exhibit the

> 6The results that we present in this paper are robust to alternative measures of price returns (real price returns computed using a seasonally adjusted and a non-seasonally adjusted consumer price index). Details are available upon request.

> 7In order to assess the robustness of these results we perform several checks. Specifically, we apply the procedure to nominal and real returns and also consider VAR(0) and VAR(1) models to jointly describe and estimate the cross-correlation structure of price returns.

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