Testing for regime-switching behaviour in Finnish agricultural land prices

Forskningsoutput: TidskriftsbidragArtikelPeer review

Sammanfattning

Purpose
This study analyses agricultural land price dynamics in order to better understand price development and to improve forecast accuracy. Understanding the evolution of agricultural land prices is important when considering sound investment decisions.

Design/methodology/approach
This study applies threshold autoregression to model agricultural land prices. The data includes quarterly observations on Finnish agricultural land prices.

Findings
The study shows that Finnish agricultural land prices exhibit regime-switching behaviour when using past changes in prices as a threshold variable. The threshold autoregressive model not only fits the data better but also improves the accuracy of price forecasts compared to the linear autoregressive model.

Originality/value
The results show that a sharp fall in agricultural land prices temporarily changes the regular development of prices. This information significantly improves the accuracy of price predictions.
Originalspråkengelska
TidskriftAgricultural Finance Review
Volym81
Utgåva2
Sidor (från-till)292-305
Antal sidor14
ISSN0002-1466
DOI
StatusPublicerad - 15 mar 2021
MoE-publikationstypA1 Tidskriftsartikel-refererad

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