Analyzing Stationarity in World Coffee Prices

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.