Wheat Outlook No. (WHS-21c-01) 48 pp

April 2021

Merits of an Aggregate Futures Price Forecasting Model for the All Wheat U.S. Season-Average Farm Price

This report presents an alternative, aggregate futures-based forecasting model that utilizes the three available wheat futures contract prices, which represent the majority of U.S. wheat production. Results show that this model tends to provide forecasts with a lower mean absolute percent error and a more accurate prediction of positive directional movement.

Errata: On May 23, this report was reposted to correct formatting errors throughout. Figure 4’s title was changed to revise winter wheat to wheat. Table 4’s title was corrected, as were the in-text references to figure 5 on page 7 and appendix 2, figure 13 on page 22. A superscript error was corrected in equation 5. In table 2, the average number of years was changed to 3 years, and a date was updated to 2018 in two places on page 10.

Keywords: Hard red winter wheat, soft red winter wheat, hard red spring wheat, all wheat season-average farm price (SAFP) forecasts, HRW-only futures-adjusted forecast model, aggregate wheat futures-adjusted forecast model, futures prices, basis, marketing weights

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