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 2014-08, Vol.47 (1), p.129-142
Main Authors: Kuethe, Todd H., Hubbs, Todd, Morehart, Mitch
Format: Article
Language:English
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
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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