The aim of this paper is to study the relationships between the price of oil and a large dataset of commodity prices, relying on panel data settings. Using second generation panel cointegration tests, our findings show that the WTI and commodity prices are not linked in the long term. Nevertheless, considering our results in causality tests, we show that short-run relations exist, mainly from the price of crude oil to commodity prices. We thus implement a panel VAR estimation with an impulse response function analysis. Two main conclusions emerge: (i) fast co-movements are highlighted, while (ii) market efficiency is emphasized.