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Speculation in agricultural land

  • Maurice J. Roche

    ()

    (Department of Economics, National University of Ireland, Maynooth, Ireland)

  • Kieran McQuinn

    ()

    (Teagasc, Dublin, Ireland)

Agricultural land prices in many developed countries rose and then fell dramatically over a relatively short period of time in the late 1970s and early 1980s. Most of the models in the literature that describe the dynamic behaviour of agricultural land prices suggest that these sharp price movements were not completely due to market fundamentals. Many attribute part of this price volatility to speculation. This phenomenon is investigated by estimating a general regime-switching model that nests many types of speculative behaviour as special cases. We find strong evidence to support a partially collapsing bubbles story about Irish agricultural land prices.

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File URL: http://repec.maynoothuniversity.ie/mayecw-files/N1010700.pdf
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Paper provided by Department of Economics, Finance and Accounting, National University of Ireland - Maynooth in its series Economics, Finance and Accounting Department Working Paper Series with number n1010700.

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Length: 32 pages
Date of creation: Oct 2000
Date of revision:
Handle: RePEc:may:mayecw:n1010700
Contact details of provider: Postal: Maynooth, Co. Kildare
Phone: 353-1-7083728
Fax: 353-1-7083934
Web page: http://www.maynoothuniversity.ie/economics-finance-and-accounting
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  1. Vigfusson, R. & Van Norden, S., 1996. "Avoiding the Pitfalls: Can Regime-Switching Tests Detect Bubbles?," Working Papers 96-11, Bank of Canada.
  2. Cutler, David M & Poterba, James M & Summers, Lawrence H, 1991. "Speculative Dynamics," Review of Economic Studies, Wiley Blackwell, vol. 58(3), pages 529-46, May.
  3. Tom Engsted, 1998. "Do farmland prices reflect rationally expected future rents?," Applied Economics Letters, Taylor & Francis Journals, vol. 5(2), pages 75-79.
  4. Summers, Lawrence H, 1986. " Does the Stock Market Rationally Reflect Fundamental Values?," Journal of Finance, American Finance Association, vol. 41(3), pages 591-601, July.
  5. Olivier J. Blanchard & Mark W. Watson, 1982. "Bubbles, Rational Expectations and Financial Markets," NBER Working Papers 0945, National Bureau of Economic Research, Inc.
  6. Eric Zivot & Donald W.K. Andrews, 1990. "Further Evidence on the Great Crash, the Oil Price Shock, and the Unit Root Hypothesis," Cowles Foundation Discussion Papers 944, Cowles Foundation for Research in Economics, Yale University.
  7. Flood, Robert P & Hodrick, Robert J, 1990. "On Testing for Speculative Bubbles," Journal of Economic Perspectives, American Economic Association, vol. 4(2), pages 85-101, Spring.
  8. D. Hallam, 1993. "Co-Integration Analysis And The Determinants Of Land Prices: Reply," Journal of Agricultural Economics, Wiley Blackwell, vol. 44(1), pages 157-159.
  9. O'Connor, Robert & Conlon, Fergal, 1993. "Agricultural and Forestry Land Prices in Ireland," Research Series, Economic and Social Research Institute (ESRI), number BMI77.
  10. T. A. Lloyd & A. J. Rayner, 1993. "Co-Integration Analysis And The Determinants Of Land Prices: Comment," Journal of Agricultural Economics, Wiley Blackwell, vol. 44(1), pages 149-156.
  11. Dickey, David A & Fuller, Wayne A, 1981. "Likelihood Ratio Statistics for Autoregressive Time Series with a Unit Root," Econometrica, Econometric Society, vol. 49(4), pages 1057-72, June.
  12. Peter C.B. Phillips & Pierre Perron, 1986. "Testing for a Unit Root in Time Series Regression," Cowles Foundation Discussion Papers 795R, Cowles Foundation for Research in Economics, Yale University, revised Sep 1987.
  13. Lloyd, T A & Rayner, A J & Orme, C D, 1991. "Present-Value Models of Land Prices in England and Wales," European Review of Agricultural Economics, Foundation for the European Review of Agricultural Economics, vol. 18(2), pages 141-66.
  14. D. Hallam & F. Machado & G. Rapsomanikis, 1992. "Co-Integration Analysis And The Determinants Of Land Prices," Journal of Agricultural Economics, Wiley Blackwell, vol. 43(1), pages 28-37.
  15. Evans, George W, 1991. "Pitfalls in Testing for Explosive Bubbles in Asset Prices," American Economic Review, American Economic Association, vol. 81(4), pages 922-30, September.
  16. Ananda Weliwita & Ramu Govindasamy, 1997. "Determinants of farmland prices in the north-eastern United States: a cointegration analysis," Applied Economics Letters, Taylor & Francis Journals, vol. 4(4), pages 211-214.
  17. Barry Falk & Bong-Soo Lee, 1998. "Fads versus Fundamentals in Farmland Prices," American Journal of Agricultural Economics, Agricultural and Applied Economics Association, vol. 80(4), pages 696-707.
  18. Barrett, Alan & Trace, Fergal, 1999. "The Impact of Agricultural and Forestry Subsidies on Land Prices and Land Uses in Ireland," Research Series, Economic and Social Research Institute (ESRI), number PRS35.
  19. Honohan, Patrick & Conroy, Charles, 1994. "Irish Interest Rate Fluctuations in The European Monetary System," Research Series, Economic and Social Research Institute (ESRI), number GRS165.
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