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Long Memory in Kenyan Commodity Prices

Author

Listed:
  • Guglielmo Maria Caporale
  • Mwangi Victor Njoroge
  • Luis Alberiko Gil-Alana

Abstract

This study investigates the long-memory properties of the prices of three Kenyan commodities (tea, coffee and horticultural products) by applying fractional integration methods to monthly data spanning the period from August 1998 to December 2024. The empirical results provide evidence of different degrees of persistence in those series. More specifically, the prices of both coffee and horticultural products appear to be mean-reverting, while tea prices are found to exhibit unit root or near-unit root behaviour, some slight seasonality also being detected in all three cases. The implications of these findings for risk management, policymaking, and market analysis are then discussed.

Suggested Citation

  • Guglielmo Maria Caporale & Mwangi Victor Njoroge & Luis Alberiko Gil-Alana, 2026. "Long Memory in Kenyan Commodity Prices," CESifo Working Paper Series 12560, CESifo.
    • Handle: RePEc:ces:ceswps:_12560
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    References listed on IDEAS

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    1. Gil-Alana, L. A. & Robinson, P. M., 1997. "Testing of unit root and other nonstationary hypotheses in macroeconomic time series," Journal of Econometrics, Elsevier, vol. 80(2), pages 241-268, October.
    2. Zaremba, Adam & Bianchi, Robert J. & Mikutowski, Mateusz, 2021. "Long-run reversal in commodity returns: Insights from seven centuries of evidence," Journal of Banking & Finance, Elsevier, vol. 133(C).
    3. Nelson, Charles R. & Plosser, Charles I., 1982. "Trends and random walks in macroeconmic time series : Some evidence and implications," Journal of Monetary Economics, Elsevier, vol. 10(2), pages 139-162.
    4. Hassler, Uwe & Wolters, Jurgen, 1994. "On the power of unit root tests against fractional alternatives," Economics Letters, Elsevier, vol. 45(1), pages 1-5, May.
    5. Lee, Dongin & Schmidt, Peter, 1996. "On the power of the KPSS test of stationarity against fractionally-integrated alternatives," Journal of Econometrics, Elsevier, vol. 73(1), pages 285-302, July.
    6. Luis Gil-Alana & Prakarsh Singh, 2015. "The Impact of Ethnic Violence in Kenya on Wheat and Maize Markets," Journal of African Economies, Centre for the Study of African Economies, vol. 24(4), pages 502-529.
    7. Sadique, Shibley & Silvapulle, Param, 2001. "Long-Term Memory in Stock Market Returns: International Evidence," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 6(1), pages 59-67, January.
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    Keywords

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    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • Q02 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - General - - - Commodity Market

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