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...

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Bibliographic Details
Published in:	Empirical economics Vol. 47; no. 1; pp. 129 - 142
Main Authors:	Kuethe, Todd H., Hubbs, Todd, Morehart, Mitch
Format:	Journal Article
Language:	English
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
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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