Farmland returns and economic conditions: a FAVAR approach

This study examines the linkages between farmland returns and other market forces including the returns to alternative investments, agricultural sector activity, non-farm real estate, and macroeconomic conditions over the period 1973–2008. The study applies factor-augmented vector autoregression to...

Full description

Saved in:
Bibliographic Details
Published inEmpirical economics Vol. 47; no. 1; pp. 129 - 142
Main Authors Kuethe, Todd H., Hubbs, Todd, Morehart, Mitch
Format Journal Article
LanguageEnglish
Published Berlin/Heidelberg Springer Berlin Heidelberg 01.08.2014
Springer Nature B.V
Subjects
Agricultural commodities
Agriculture
Diffusion index
Econometrics
Economic conditions
Economic theory
Economic Theory/Quantitative Economics/Mathematical Methods
Economics
Economics and Finance
Farms
Finance
Insurance
Investments
Macroeconomics
Management
Mandamus
Monetary policy
Prices
Principal components analysis
Regression analysis
Return on investment
Statistics for Business
Studies
Time series
Trends
Farmland
Q15
Q14
Farmland values
Factor-augmented vector autoregression
Online AccessGet full text

Cover

More Information
Summary:This study examines the linkages between farmland returns and other market forces including the returns to alternative investments, agricultural sector activity, non-farm real estate, and macroeconomic conditions over the period 1973–2008. The study applies factor-augmented vector autoregression to extract information from a large panel of economic time series. Results suggest that farmland returns are influenced by common trends in the returns to alternative investments and general macroeconomic conditions.
ISSN:0377-7332
1435-8921
DOI:10.1007/s00181-013-0730-5