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The Nonparametric Relationship between Oil and South African Agricultural Prices

Ahdi Noomen Ajmi, Rangan Gupta (), Monique Kruger, Nicola Schoeman and Leoné Walters
Additional contact information
Monique Kruger: Department of Economics, University of Pretoria
Nicola Schoeman: Department of Economics, University of Pretoria
Leoné Walters: Department of Economics, University of Pretoria

No 201461, Working Papers from University of Pretoria, Department of Economics

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 and certain South African agricultural commodity prices. 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.

Keywords: Agricultural prices; Oil prices; Granger causality; Nonlinearity; South Africa (search for similar items in EconPapers)
JEL-codes: C32 Q11 Q40 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-afr, nep-agr and nep-ene
Date: 2014-10
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Persistent link: https://EconPapers.repec.org/RePEc:pre:wpaper:201461

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