Contents of the volume

2016, Volume 69 - Issue 2

ISSN: 2499-8265
RSS feed citation: at CitEc
Publication date: 06 May 2016

THE NONPARAMETRIC RELATIONSHIP BETWEEN OIL AND SOUTH AFRICAN AGRICULTURAL PRICES

Ahdi N. Ajmi, Rangan Gupta, Monique Kruger, Nicola Schoeman, Leoné Walters

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A THEORETICAL MODEL OF REMITTANCES WITH APPLICATIONS

Moawia Alghalith, Samantha Chris Roach

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EXCHANGE RATE PASS-THROUGH (ERPT) AND INFLATION TARGETING (IT): EVIDENCE FROM SOUTH AFRICA

Smile Dube

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DIRECT FOREIGN INVESTMENT AND ITS DETERMINANTS: A CASE STUDY

Keshmeer Kanewar Makun

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Genoa Chamber of Commerce
Economia Internazionale / International Economics

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Corresponding author

Ahdi N. AJMI, College of Science and Humanities in Slayel, Salman bin Abdulaziz University, Kingdom of Saudi Arabia

Co-authors

Rangan GUPTA, Department of Economics, University of Pretoria, Pretoria, South Africa

Monique KRUGER, Department of Economics, University of Pretoria, Pretoria, South Africa

Nicola SCHOEMAN, Department of Economics, University of Pretoria, Pretoria, South Africa

Leoné WALTERS, Department of Economics, University of Pretoria, Pretoria, South Africa

The Nonparametric Relationship between Oil and South African Agricultural Prices

Pages

93-112

Abstract

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.

JEL classification

C32, Q11, Q40

Keywords

Agricultural Prices, Oil Prices, Granger Causality, Nonlinearity, South Africa

Index

1. Introduction

2. Literature review

3. Methodology

4. Conclusion

Appendix

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