This work explores the potential of an information-theoretical causality detection method for unravelling the relation between fluctuating variables in complex non-linear systems. The method is tested on some simple though non-linear models, and guidelines for the choice of analysis parameters are established. Then, measurements from magnetically confined fusion plasmas are analysed. The selected data bear relevance to the all-important spontaneous confinement transitions often observed in fusion plasmas, fundamental for the design of an economically attractive fusion reactor. It is shown how the present method is capable of clarifying the interaction between fluctuating quantities such as the turbulence amplitude, turbulent flux and zonal flow amplitude, and uncovers several interactions that were missed by traditional methods.