This article investigates the long-run relationship between spot and futures prices for corn and soybean. We apply cointegration methodology, allowing for the presence of potentially unknown structural breaks and then study the causality relationships between spot and futures prices within each specific subperiod identified with the aim of analysing the price discovery. Empirical estimates highlight (i) multiple breaks exist in the cointegrating relationship between prices and (ii) subperiods consequently identified express different dynamics in the causal relationship between spot and futures prices and support the idea that fundamentals are important in explaining the 2007/08 food price increase.

In this paper we analyse vertical price transmission in two typical Italian wheat chains, the pasta and bread chains, that were particularly affected by strong market fluctuations during the last years. After having split the chains into two sides, upstream (farm–wholesale) and downstream (wholesale–retail), we apply a cointegration methodology allowing for the presence of potentially unknown structural breaks. Then, for the different subperiods detected by the break dates, we investigate the evolving price transmission elasticities finding evidence of asymmetric price transmission. In the pasta chain, farmers seem to be price-takers, while in the bread chain price transmission is related to market structure and to the coexistence of small and large retailers.

The growing expansion of European Union Emission Trading futures market and the parallel increase in the tendency of using such products also as financial instruments in the capital market outline the interest in the analysis of European Union Allowances (EUA) futures prices drivers. We applied recent developments in the threshold cointegration approach to investigate the presence of asymmetric dynamic adjusting processes between CO₂ futures and spot Brent prices. We found evidence of the existences of long-run nonlinear relationships, with Brent prices driving EUA futures prices to a long-run equilibrium up to a point where the gap between the two prices exceeds a critical threshold. Hence, EUA futures market currently do not act only as a tool for compliance within the environmental regulation (i.e. to contain CO₂ emissions), but has become a financial instrument to support firms' profit-maximizing behaviour.

Water, energy, and food and are strongly interconnected, and the sustainability of the whole world depends on this link. The aim of this article is to analyze the volatility spillovers between indexes representing the financial component of this nexus. We use a multivariate Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model with daily data in which the water variable is proxy by equity index that represents the performance of the industry involved in water business both at the global and local levels. For the food and energy sectors, we use two sub-indexes of the S&P Goldman Sachs (GS)-Commodity Index. Our results highlight the existence of a financial nexus between water, energy, and food that was particularly exacerbated during 2008 crisis. Evidence therefore suggests the need to better investigate the policy options that can be used to reduce price volatility in a framework of the rising relevance of sustainability issues.