Empirical analysis and multiple regression modelling of influential factors behind wheat prices in future market

Diplôme Master Empirical analysis and multiple regression modelling of influential factors behind wheat prices in future market eng 2019 author Köse Mehmet Berkay 870752 director Pirrong Craig 830545 This paper aims at pointing out major factors behind wheat prices, clarifying their effects on wheat prices and building a forecasting model to help ones interested in price movement. In the course of study, fundamental factors, macroeconomic indicators, production costs and speculative positions are discovered as four main factors. Under fundamental factors, supply, demand, ending stocks and stock-to-use ratio are examined comprehensively and concluded that ending stocks and stock-to-use ratio are significantly negatively correlated with wheat prices. This clearly demonstrates lower supply means higher prices. Regarding macroeconomic indicators, it is proved that dollar index has strong negative relationship with wheat prices mathematically. It is also observed that political risks & uncertainties are tend to influence wheat prices, particularly, current trade war between the USA and China is likely to cause bearish market environment. Under production costs factors, it is found that oil prices and fertilizer prices have significant positive correlation with wheat prices, which indicates that higher production input costs mean higher wheat prices or vice a versa. In speculative positions, it is determined that managed money net positions in the Commitments of Traders (COT) report, representative of speculative positions, have quite robust positive relationship with wheat prices, which concludes that managed money net positions becoming longer lead to spike in wheat prices or vice a versa. Furthermore, all major factors found in the study have been utilized to build statistical model and it is achieved that all those four major factors operate in the model successfully with conformity. Overall, the study reveals the most substantial factors triggering wheat prices and provides practical and applicable approach to predict wheat prices directionally based on pretty strong multiple linear regression model built in the study. Dewey 330/650 MSc Commodity Trading 9 Faculté d'économie et de management S false c5184e23-0f4a-4c79-acff-5574de3c49ac Master thesis Public M.B.Kose-Thesis.pdf 2829066 application/pdf openAccess Faculté d'économie et de management

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Empirical analysis and multiple regression modelling of influential factors behind wheat prices in future market				2019	2,321	1,784

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Köse, Mehmet Berkay