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AbstractThis paper aims to investigate the cross‐interdependence between crude oil and agricultural commodity prices. We apply a test of persistence in order to verify whether crude oil prices' effect on the agricultural commodity markets is immediate or delayed. Using the daily data covering the period 2003–2017, results show that the delayed effect of crude oil prices on the agricultural commodity prices is lower than the immediate effect. Furthermore, the dependence is strongly persistent and more affected by the food crisis than the oil crisis. Additionally, a contagion effect is detected during the food crisis for almost agricultural commodity markets, while during the oil crisis, it is verified only for the soybean and wheat markets. The study is designed to determine a reliable framework for returns and volatility forecasting in commodity markets based on the oil market changes.