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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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    File URL: https://www.ifo.de/DocDL/cesifo1_wp12560.pdf
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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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