1,721,091 research outputs found
Meteorological Forecasts and the Pricing of Temperature Futures
No full textIn usual pricing approaches for weather derivatives, forward-looking information such as meteorological weather forecasts is not considered. Thus, important knowledge used by market participants is ignored in theory. By extending a standard model for the daily temperature, this article allows the incorporation of meteorological forecasts in the framework of weather derivative pricing and is able to estimate the information gain compared with a benchmark model without meteorological forecasts. This approach is applied for temperature futures referring to New York, Minneapolis, and Cincinnati with meteorological forecast data 13 days in advance. Despite this relatively short forecast horizon, the models using meteorological forecasts outperform the classical approach and more accurately forecast the market prices of the temperature futures traded at the Chicago Mercantile Exchange (CME). Moreover, a concentration on the last two months or on days with actual trading improves the results, whereas an inclusion of hypothetical perfect forecasts worsens them
Revisiting the relationship between land price and parcel size in agriculture
No full textHedonic land price models often use parcel size as an explanatory variable. Empirical analyses, however, are rather ambiguous regarding the direction and the size of the effect of this variable on farmland values. The objective of this paper is to investigate this size–price relation for agricultural land use in detail and to derive recommendations for an appropriate specification of hedonic land price models. Our analysis consists of three steps. First, we conduct a meta-analysis based on a comprehensive literature review. Second, we analyze a dataset of more than 80,000 agricultural land transactions in Saxony-Anhalt, Germany, using the nonparametric locally weighted scatterplot smoothing (LOWESS) estimator. This unconditional smoothing algorithm identifies negative size–price relations for very small and large plots, whereas it finds a positive relation for medium plots. We use this finding in our third step, a hedonic land price model, in which the size–price relation is modeled conditional on land and buyer characteristics. From these steps, we conclude that the complex relationship between land price and plot size cannot be captured by a simple functional form since it is affected by several economic factors, such as economies of size, transaction costs, and financial constraints.</p
Is there a term structure in land lease rates?
No full textThis article applies the concept of a term structure to agricultural land rental prices. Based on theoretical considerations, we develop a hedonic pricing model that allows for different shapes of the term structure curve while controlling for other price-relevant characteristics. We apply this model to land lease contracts in Saxony-Anhalt. We find an upward-sloping term structure during the agricultural price boom in 2007 and 2008, where market participants expected increasing rental prices. For the subsequent years, however, we detect a single-humped term structure. Hence, market participants revised their expectations and assumed a decline of land rental prices in the long term. </p
Farmland sales under returns and price uncertainty
No full textThis paper investigates the observed heterogeneity in the liquidity of agricultural land markets. We adopt a real options model to determine the value of an opportunity to sell farmland and derive the optimal disinvestment triggers. A proportional hazards model is applied to estimate the duration between land sales in Germany and test the implications of the real options model. In contrast to expectations, we find an ambiguous effect of returns and price volatility on the optimal timing of land sales. There is no evidence that non-agricultural investors buy and sell land more frequently than farmers. Our results contribute to the current discussion on land market regulations, one major point of which is capping land prices. According to our results, such policies could increase the rent–price ratio and thus discourage land sales. In turn, the land supply would be reduced, causing further price pressure on farmland markets.http://dx.doi.org/10.13039/501100001659 Deutsche Forschungsgemeinschaf
Influence de l‘énergie éolienne sur le prix des terres agricoles
No full textDieser Beitrag analysiert die Entwicklung der landwirtschaftlichen Bodenpreise in Brandenburg zwischen den Jahren 2000 und 2010. Neben allgemeinen preisbestimmenden Merkmalen wird dabei der Einfluss der Windkrafterzeugung gesondert berücksichtigt. Mittels einer Regressionsanalyse zeigt sich, dass ein signifikanter positiver Zusammenhang zwischen dem Umfang der Windenergie und der Höhe der Kaufpreise besteht. Die Effekte lassen sich zudem untergliedern in einen Bestands-, Zubau- sowie einen Potenzialeffekt. Es zeigt sich, dass die Windenergienutzung in Brandenburg die Bodenpreise im Schnitt um etwa fünf Prozent erhöht hat. Dieser Effekt schwankt regional in Abhängigkeit der lokalen Turbinendichte.This study sets out to analyze the trend in farmland prices in one of the eastern states of Germany, Brandenburg, between the years 2000 and 2010. Apart from the usual price determinants, we consider especially the influence of wind power generation. Based on regression analysis, we find a significant positive correlation between the scope of the wind energy and the level of the purchasing prices. The effects are also broken down into a stock, extension and potential effect. It is shown that, on average, the use of wind energy in Brandenburg led to an increase of farmland prices of about five percent, although this effect has regional differences depending on the local wind turbine density.Cet article analyse l’évolution des prix des terres agricoles au Brandebourg, l’un des lands situés à l’est de l’Allemagne fédérale, au cours des années 2000 à 2010. A côté des paramètres qui déterminent habituellement ces prix, nous prenons en compte l’influence de la production d’énergie éolienne. L’analyse de régression effectuée établit qu’il existe une relation significative positive entre l’importance de l’énergie éolienne et le niveau des prix d’achat. Nous décomposons ces effets en effets de stock, effets d’extension et en effet potentiel. Il apparaît que l’utilisation d’énergie éolienne au Brandebourg a entraîné une augmentation moyenne des prix des terres d’environ cinq pour cent, bien que l’on relève des différences régionales en fonction de la densité locale des turbines
What Moves the German Land Market? A Decomposition of the Land Rent-Price Ratio
Full text linkThe price increases on agricultural land markets in the last decade have triggered a debate about land as an attractive investment opportunity for agricultural and nonagricultural investors. In a static environment, the rent-price ratio provides a first indicator of the profitability of an investment in land. In this paper, we apply the dynamic Gordon growth model to Western Germany and decompose the rent-price ratio into the expected present values of rental growth rates, real interest rates, and a land premium, i.e., the excess return on investment. This analysis reveals that the recent price surge on agricultural land markets was not unprecedented; second, the land market rent-price ratio is rather low compared to other markets and varies considerably among federal states; third, (expected) premia for land are mostly negative, rendering investments in farmland unprofitable for financial investors. Finally, we find that changing expected present values of returns on land investments are the major driver for land price volatility
Farm growth and land concentration
No full textStructural change in agriculture is characterized by the interdependency of farms' growth decisions due to the scarcity of agricultural land. This paper adds to the sparse empirical literature on the relation between land market concentration and farm size changes, considering different definitions of the relevant market. Using data from the Integrated Administrative Control System (IACS) from 2005 until 2017 for Brandenburg, Germany, we find that about half of the land transactions occur beyond municipality borders. This emphasizes the importance of carefully defining the relevant market. The descriptive analysis shows that although concentration rates, on average, did not increase over time, spatial differences are present. In the econometric analysis, we apply a two stage model to analyze how competition for agricultural land impacts the probability and relative level of expansion. For farms that remained active between 2005 and 2017, we find a negative relation between farm size and relative growth. Our conjecture that higher inequality of land distribution fosters the expansion of large farms was not confirmed
Experimental evidence of bargaining power in agricultural land markets
No full textAbstract There is public concern about the degree to which rising farmland rental rates are driven by the perceived market influence of non-agricultural actors. We conduct a structural estimation to analyse the potential bargaining power of different types of actors in the farmland market. It allows us to infer their latent reservation utilities by exploiting equilibrium conditions, derived from a stochastic ultimatum game. Reservation utilities reflect outside options in negotiations, as they are determinants of bargaining power. We conduct economic experiments in the rental market. Our findings show that farmers and local actors have more bargaining power than non-farmers and absentee actors, respectively
Going Beyond Counting First Authors in Author Co-citation Analysis
Full text linkThe present study examines one of the fundamental aspects of author co-citation analysis (ACA) - the way co-citation
counts are defined. Co-citation counting provides the data on which all subsequent statistical analyses and mappings
are based, and we compare ACA results based on two different types of co-citation counting - the traditional type that
only counts the first one among a cited work's authors on the one hand and a non-traditional type that takes into
account the first 5 authors of a cited work on the other hand. Results indicate that the picture produced through this non-traditional author co-citation counting contains more coherent author groups and is therefore considerably clearer. However, this picture represents fewer specialties in the research field being studied than that produced through the traditional first-author co-citation counting when the same number of top-ranked authors is selected and analyzed. Reasons for these effects are discussed
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