WHEAT PRICE PREDICTION USING PULSE FUNCTION INTERVENTION ANALYSIS APPROACH
Abstract
This study examines the impact of the Russia–Ukraine conflict on international wheat prices and develops a short-term forecasting model using intervention analysis. The study addresses a gap in the existing literature by applying a pulse-function intervention to capture sudden price shocks from geopolitical events, which are often inadequately modeled in conventional time-series approaches. Monthly wheat price data from January 2020 to November 2022 were analyzed using an intervention model combined with an ARIMA framework. The results indicate a statistically significant price spike following the onset of the conflict, confirming the presence of a short-term shock effect. The best-fitting model, ARIMA(0,2,1), produced an Akaike Information Criterion (AIC) value of -2097.84 and a Mean Squared Error (MSE) of 47,632.17, indicating satisfactory predictive performance for short-term forecasting. This study contributes methodologically by integrating pulse intervention analysis with ARIMA modeling to better capture abrupt disruptions in commodity prices. The findings provide empirical evidence of the sensitivity of global wheat markets to geopolitical instability and offer policymakers insights for designing responsive food security strategies. However, this study is limited by its relatively short observation period and by the exclusion of external variables, such as energy prices and trade policies, which may also influence price dynamics.
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