Fads versus fundamentals in farmland prices: comment

Maurice Roche

Economics Department Working Paper Series from Department of Economics, National University of Ireland - Maynooth

Abstract: A trivariate vector autoregression time series process, based on a present-value land price model, is used to decompose Iowa farmland prices into fundamental and non-fundamental components. A recent study, by Falk and Lee (1998), found that non-fundamental shocks are an important source of volatility in farmland prices and it was interpreted that these price movements were due to fads not speculative bubbles. We argue to the contrary and use a regime-switching model to provide evidence that supports a partially collapsing bubble story of the dynamics of Iowa farmland prices.

Keywords: Vector autoregression; Regime-switching; Farmland prices; Bubbles (search for similar items in EconPapers)
JEL-codes: G12 Q11 Q15 (search for similar items in EconPapers)
Pages: 13 pages
Date: 2001-03
New Economics Papers: this item is included in nep-agr
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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Journal Article: Fads versus Fundamentals in Farmland Prices: Comment (2001)
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Persistent link: https://EconPapers.repec.org/RePEc:may:mayecw:n1070301

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