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Analyzing Stationarity in World Coffee Prices

Author

Listed:
  • C. Flores Komatsu

    (University of Navarra)

  • L. A. Gil-Alana

    (University of Navarra)

Abstract

This paper investigates the degree of persistence of monthly coffee prices of five different groups (ICO Composite, Brazilian Naturals, Other Milds, Colombian Milds, and Robusta) between the years 1965 and 2020 by using long memory and fractional integration processes. The results show high degrees of persistence for all coffee groups, rejecting the hypothesis of I(0) stationarity, and showing a lack of mean reversion towards the long-run price level for most coffee groups. The results imply that in the case of an exogenous shock in coffee price levels, strong policy measures must be introduced to regain their original levels.

Suggested Citation

  • C. Flores Komatsu & L. A. Gil-Alana, 2025. "Analyzing Stationarity in World Coffee Prices," Computational Economics, Springer;Society for Computational Economics, vol. 65(4), pages 2115-2131, April.
    • Handle: RePEc:kap:compec:v:65:y:2025:i:4:d:10.1007_s10614-024-10630-4
    DOI: 10.1007/s10614-024-10630-4
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    More about this item

    Keywords

    Coffee prices; Stationarity; Unit roots; Fractional integration;
    All these keywords.

    JEL classification:

    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Prediction Models; Simulation Methods
    • E3 - Macroeconomics and Monetary Economics - - Prices, Business Fluctuations, and Cycles
    • Q1 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Agriculture

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