Persistence of International Renewable Commodity Prices: Accounting for the Impact of the COVID-19 Pandemic and Russia–Ukraine War

In this article, we examine the statistical properties of 15 international renewable commodity prices by looking at the degree of persistence from January 1960 to March 2023. Moreover, we also explored if the incidence of the COVID-19 pandemic or Russia–Ukraine war caused a change in persistence or mean reversion of renewable commodity prices. The results suggest that all series are highly persistent, and evidence of mean reversion and transitory shocks are only obtained in some cases for bananas and tea. The COVID-19 pandemic or Russia–Ukraine war has not significantly affected the persistence of the series.