Purpose of this article is to consider commodity market interaction between United States and Italy. We use time series for spot prices spanning from January 1999 to May 2012 for crude oil and three ag-commodities: wheat, corn and soybean. These crops have been selected for their relevance in ag-commodity exchanges between US and Italy markets. Market integration between US and Italy agricultural markets is hypothesized given the consistenly high volumes traded between these two countries as well as by the central role of exchange trade for these products, e.g. on Chicago Board of Trade (CBT). The integration between oil and ag-commodity markets is suggested both by the intensive use of energy dependent inputs, (fertilizer, seed, machinery) in production of ag-commodities and their use in biofuel production. Our results suggest: a) market integration between US market crude oil and ag-commodities; b) integration between Italian and US ag-commodity prices and less evidence of integration between Italian ag and oil markets. These results contribute a basis for to improved predicion of price movements.
