This paper seeks to provide an explanation for the relationship between domestic maize price in South Africa and world maize prices in order to evaluate co-movement and transmission of world prices to domestic prices in Sub-Sahara African countries. This is done by comparing nested and non-nested models that capture di erent forms of nonlinearity in the price spread. Adopting a Bayesian approach that allows for comparison of models using Bayes Factor, we found that the relationship between South African price and world price for maize indicates the presence of nonlinearity in price transmission with three regimes that is triggered by the price spread in previous period.