농지임차료 충격이 농지가격에 미치는 영향 분석

Empirical Analysis of the Dynamic Effects of Structural Disturbances on Farmland Prices: Using the Loglinear Present Value Model

This paper investigates the contribution of farmland rent shocks to the fluctuation of farmland prices in Korea. The farmland rent process is comprised of a permanent component and a temporary component. Both components are related to the farmland price process, within a loglinear version of the present value model. A structural VAR model is used to identify farmland rent shocks as well as investigate the dynamic effects of those shocks on farmland prices. The paper shows that initial responses to temporary shocks in farmland rent are just as strong as those to permanent shocks, long-term farmland price movements being explained by permanent shocks in farmland rent. The movement of farmland price-rent spreads is dominated by temporary shocks in farmland rent, the dynamic responses of farmland price rent spreads being especially sensitive to temporary shocks. In response to temporary shocks in farmland rent, empirical evidence suggests that farmland prices overreact to farmland rents.