DETERMINATION OF SPOT WHEAT PRICES UNDER CLIMATE IMPACT USING COPULA APPROACH

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DETERMINATION_OF_SPOT_WHEAT_PRICES_UNDER_CLIMATE_IMPACT_USING_COPULA_APPROACH.pdf

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2022-7-26

Author

Kayapınar, İlayda

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Climate components have a significant impact on the supply of agricultural goods in two ways. Firstly, the climate condition influences the efficiency of agriculture and the volume of the harvested product. Secondly, the farmers harvesting their products would prefer to sell their goods in the season when the supply is limited at a higher price. Therefore, we can say that climate conditions can determine the price of agricultural products. Modeling the seasonal variables whose distributions are not the same and analyzing the dependence between agricultural products have great interest and importance in agricultural markets and risk theory. The primary motivation is to forecast the spot wheat prices under the influence of the climate component. For this purpose, we employ time series analysis for Konya's monthly adjusted weighted average prices of wheat transactions, whose clearing is conducted together with Istanbul Settlement and Custody Bank Inc., and climate components. Afterward, the adjusted spot prices against inflation is remodeled by using t-copula under the influence of climatic parameters to improve the predictions. For this purpose, the best models are selected for the temperature, relative humidity, and precipitation, and the residuals derived from those models are used to determine the vine structure. Vine trees help us understand if there is a core climate component with the dependence structure with other variables. Then, the adjusted spot wheat prices against inflation are simulated with respect to the output of the vine copula structure. The simulated adjusted wheat prices with t-copula give us a more accurate estimation than the predictions from the time-series analysis.

Subject Keywords

ARIMA, SARIMA, Dependence, Vine copula

URI

https://hdl.handle.net/11511/98605

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Graduate School of Applied Mathematics, Thesis

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Citation Formats

İ. Kayapınar, “DETERMINATION OF SPOT WHEAT PRICES UNDER CLIMATE IMPACT USING COPULA APPROACH,” M.S. - Master of Science, Middle East Technical University, 2022.