Causal and time-frequency spillovers from the Southern Oscillation index to grain futures: Evidence from CBOT Corn and Soybean futures and SAFEX Maize

This study examines the time-frequency transmission between ENSO-linked climate signals, proxied by the Southern Oscillation Index (SOI), and key grain futures traded on the Chicago Board of Trade (CBOT) and the South African Futures Exchange (SAFEX). Using futures data for CBOT corn and soybeans and SAFEX maize, we employ a multi-method framework that integrates partial wavelet coherence, multi-scale wavelet decomposition, Granger causality, and wavelet quantile regression. By explicitly controlling for macro-financial confounders, our analysis isolates climate-specific spillovers from broader market co-movements. The results reveal pronounced scale-dependent SOI spillovers in SAFEX maize with dynamic co-movements intensifying at medium- to long-term horizons. Both 30-day and 90-day SOI aggregates show statistically significant forecasting power over SAFEX maize returns and volatility. In contrast, CBOT corn and soybean futures exhibit weaker and more episodic sensitivity. Overall, the findings highlight the regional asymmetries in climate vulnerability and demonstrate that SOI-based signals serve as early warning systems for grain futures volatility.