Long Memory in Kenyan Commodity Prices

Guglielmo Maria Caporale, Mwangi Victor Njoroge and Luis Alberiko Gil-Alana

No 12560, CESifo Working Paper Series from CESifo

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.

Keywords: fractional integration; long memory; persistence; Kenyan commodity prices (search for similar items in EconPapers)
JEL-codes: C22 Q02 (search for similar items in EconPapers)
Date: 2026
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Persistent link: https://EconPapers.repec.org/RePEc:ces:ceswps:_12560

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