This paper analyzes the long-term and short-term effects of oil prices on ethanol, gasoline, and sugar price forecasts. With the help of a vector error correction with exogenous variable (VECX) model, and using the forecast of oil prices as an exogenous variable, we obtained simultaneous forecasts for ethanol, gasoline, and sugar prices. Due to the lack of a robust methodology for forecasting oil prices, we forecasted three scenarios that took the historical behavior of oil prices into account, and a fourth scenario that took into account the prediction of a prominent agency that specializes in forecasting commodity prices. The forecast period was from January 2019 to December 2022. The results indicate that: (i) there are long-term effects of the oil price forecast on the forecasts of the other three prices; (ii) in the short term, the ethanol and gasoline price forecasts were more sensitive to changes in future oil prices than the sugar price forecast; and (iii) the future volatility of the price of sugar is less than the future volatility of the other two prices. These results can assist agents in the sugarcane and energy sectors when making strategic decisions. (C) 2019 Elsevier Ltd. All rights reserved.