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The Nonparametric Relationship between Oil and South African Agricultural Prices - La relazione nonparametrica tra il prezzo del petrolio e i prezzi dei prodotti agricoli in Sud Africa

Ahdi Noomen Ajmi, Rangan Gupta (), Monique Kruger, Nicola Schoeman and Leoné Walters
Additional contact information
Monique Kruger: Department of Economics, University of Pretoria, Postal: Lynnwood Road Pretoria 0002 South Africa, http://www.up.ac.za/
Nicola Schoeman: Department of Economics, University of Pretoria, Postal: Lynnwood Road Pretoria 0002 South Africa, http://www.up.ac.za/
Leoné Walters: Department of Economics, University of Pretoria, Postal: Lynnwood Road Pretoria 0002 South Africa, http://www.up.ac.za/

Economia Internazionale / International Economics, 2016, vol. 69, issue 2, 93-112

Abstract: 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 relationship between global oil prices (OPEC basket (sourced from OPEC) and Brent Crude (sourced from the Fred database of the Federal Reserve Bank of St. Louis)) and certain South African agricultural commodity prices (sourced from Johannesburg Stock Exchange) over the period of 2003-2014 using daily data. The mean price of wheat, sunflower and soya are Granger caused by OPEC basket oil price. OPEC basket oil prices also cause volatility of wheat, sunflower seed and sorghum prices. - Lo scopo di questo studio è analizzare la relazione causale tra il prezzo del petrolio a livello mondiale e i prezzi dei prodotti agricoli in Sud Africa. Viene utilizzato il test di nonlinearità di Granger causality (ideato da Nishiyama et al., 2011) basato su condizioni di momento. I risultati indicano che effettivamente c’è una relazione causale tra i prezzi del petrolio (paniere OPEC), il prezzo Crude Brent (banca dati Federal Reserve Bank of St. Louis) e i prezzi di alcuni prodotti agricoli del Sud Africa (fonte: Borsa di Johannesburg) nel periodo 2003-2014, con utilizzo di dati giornalieri. Il prezzo medio della farina, girasole e soia sono Granger causati dal prezzo del petrolio del paniere OPEC. Quest’ultimo è causa anche della volatilità dei prezzi della farina, dei semi di girasole e del sorgo.

Keywords: Agricultural Prices; Oil Prices; Granger Causality; Nonlinearity; South Africa (search for similar items in EconPapers)
JEL-codes: C32 Q10 Q40 (search for similar items in EconPapers)
Date: 2016
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