Measuring liquidity in agricultural land markets

Arbeitspapier

This paper contributes to the sparse empirical literature on measuring liquidity in agricultural land markets. Using data from Lower Saxony (Germany), we inspect the spatial and temporal variability of various liquidity indicators. We apply a panel vector autoregression (VAR) and Granger causality tests to examine the relationship between liquidity and prices and to identify further determinants of land market liquidity, such as supply shocks and clientele effects. Unlike in housing markets, no positive relationship between prices and market liquidity exists. We conclude that in agricultural land markets, a high demand from expanding farms absorbs supply shocks regardless of prevailing prices.

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• Language: Englisch

References and Relationships

• Bibliographic citation: Series: FORLand-Working Paper ; No. 25 (2020)

Classification and Topics

• Classification: Wirtschaft ; Agricultural Markets and Marketing; Cooperatives; Agribusiness ; Renewable Resources and Conservation: Land ; Multiple or Simultaneous Equation Models: Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes; State Space Models ; Multiple or Simultaneous Equation Models: Panel Data Models; Spatio-temporal Models
• Subject: Agricultural land markets ; liquidity indicators ; panel vector autoregressive model ; Granger causality

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Kionka, Marlene ; Odening, Martin ; Plogmann, Jana ; Ritter, Matthias
• Event: Veröffentlichung
• (who): Humboldt-Universität zu Berlin, DFG Research Unit 2569 FORLand "Agricultural Land Markets - Efficiency and Regulation"
• (where): Berlin
• (when): 2020

Further information

• DOI: doi:10.18452/22244
• Handle: http://hdl.handle.net/10419/227608
• URN: urn:nbn:de:kobv:11-110-18452/22867-2