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dc.contributor.advisorBessler, David
dc.contributor.advisorMcCarl, Bruce A
dc.creatorXu, Jin
dc.date.accessioned2013-12-16T19:56:29Z
dc.date.available2015-08-01T05:48:31Z
dc.date.created2013-08
dc.date.issued2013-05-20
dc.date.submittedAugust 2013
dc.identifier.urihttps://hdl.handle.net/1969.1/150974
dc.description.abstractThis dissertation consists of three essays wherein tools of financial econometrics are used to study the three aspects of farmland valuation puzzle: short-term boom-bust cycles, overpricing of farmland, and inconclusive effects of direct government payments. Essay I addresses the causes of unexplained short-term boom-bust cycles in farmland values in a dynamic land pricing model (DLPM). The analysis finds that gross return rate of farmland asset decreases as the farmland asset level increases, and that the diminishing return function of farmland asset contributes to the boom-bust cycles in farmland values. Furthermore, it is mathematically proved that land values are potentially unstable under diminishing return functions. We also find that intertemporal elasticity of substitution, risk aversion, and transaction costs are important determinants of farmland asset values. Essay II examines the apparent overpricing of farmland by decomposing the forecast error variance of farmland prices into forward looking and backward looking components. The analysis finds that in the short run, the forward looking Capital Asset Pricing Model (CAPM) portion of the forecast errors are significantly higher in a boom or bust stage than in a stable stage. This shows that the farmland market absorbs economic information in a discriminative manner according to the stability of the market, and the market (and actors therein) responds to new information gradually as suggested by the theory. This helps to explain the overpricing of farmland, but this explanation works primarily in the short run. Finally, essay III investigates the duel effects of direct government payments and climate change on farmland values. This study uses a smooth coefficient semi-parametric panel data model. The analysis finds that land valuation is affected by climate change and government payments, both through discounted revenues and through effects on the risk aversion of land owners. This essay shows that including heterogeneous risk aversion is an efficient way to mitigate the impacts of misspecifications in a DLPM, and that precipitation is a good explanatory variable. In particular, precipitation affects land values in a bimodal manner, indicating that farmland prices could have multiple peaks in precipitation due to adaption through crop selection and technology alternation.en
dc.format.mimetypeapplication/pdf
dc.language.isoen
dc.subjectFinancial Econometricsen
dc.subjectTime Seriesen
dc.subjectForecast Error Variance Decompositionen
dc.subjectPanel Dataen
dc.subjectGeneralized Method of Momentsen
dc.subjectSeemingly Unrelated Regressionen
dc.subjectSemi-Parametricen
dc.subjectFarmland Valuationen
dc.subjectEquity Puzzleen
dc.subjectBoom-Bust Cyclesen
dc.subjectMarket Behavioren
dc.subjectEconomic Value of Informationen
dc.subjectDirect Government Paymentsen
dc.subjectClimate Changeen
dc.subjectPolicy Analysisen
dc.titleEssays in Financial Econometric Investigations of Farmland Valuationsen
dc.typeThesisen
thesis.degree.departmentAgricultural Economicsen
thesis.degree.disciplineAgricultural Economicsen
thesis.degree.grantorTexas A & M Universityen
thesis.degree.nameDoctor of Philosophyen
thesis.degree.levelDoctoralen
dc.contributor.committeeMemberWu, Ximing
dc.contributor.committeeMemberLi, Qi
dc.type.materialtexten
dc.date.updated2013-12-16T19:56:29Z
local.embargo.terms2015-08-01


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