The aim of this paper is to investigate the causal relationship between agricultural prices in South Africa and global oil prices. A nonlinear Granger causality test based on moment conditions, introduced by Nishiyama et al (2011) is employed and we find that there is indeed a causal...

This paper investigates causality between oil prices and the prices of agricultural commodities in South Africa. We use daily data covering the period April 19, 2005 to July 31, 2014 for oil prices and the prices of soya beans, wheat, sunflower and corn. The test for Granger causality in...