what is the hay or string that goes around the cake made of?

I think it looks like Raffia? Sort of like a straw type string/ ribbon stuff...

Looks like raffia to me as well, I got some from hobby craft in the flower arranging section. Hope that helps.
Han x

thanks for helping, i asumed its made out of fondant. so that makes life better for me.

The creator of that cake is on here. If you PM her, I'm sure she'll answer and let you know for sure.

Edna created that one---gorgeous!
You can find her on here under Toneda

I think you can buy that stuff in the ribbon section. PM Edna, she's great at answering questions.