Purpose

This paper quantifies the effects of recent Federal Reserve interest rate changes, specifically recent hikes and cuts in the federal funds rate since 2015, on Midwest farmland values.

Design/methodology/approach

The authors apply three autoregressive distributed lag (ARDL) models to a panel data of state-level farmland values from 1963 to 2018 to estimate the dynamic effects of interest rate changes on the US farmland market. We focus on the I-states, Lakes states and Great Plains states. The models in the study capture both short-term and long-term impacts of policy changes on land values.

Findings

The authors find that changes in the federal funds rate have long-lasting impacts on farmland values, as it takes at least a decade for the full effects of an interest rate change to be capitalized in farmland values. The results show that the three recent federal funds rate cuts in 2019 were not sufficient to offset the downward pressures from the 2015–2018 interest rate hikes, but the 2020 cut is. The combined effect of the Federal Reserve's recent interest rate moves on farmland values will be positive for some time starting in 2022.

Originality/value

This paper provides the first empirical quantification of the immediate and long-run impacts of recent Federal Reserve interest rate moves on farmland values. The authors demonstrate the long-lasting repercussions of Federal Reserve's policy choices in the farmland market.

中文翻译：

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利率变化对美国中西部农田价值的影响

目的

本文量化了近期美联储利率变化对中西部农田价值的影响，特别是自 2015 年以来联邦基金利率的近期上调和下调。

设计/方法/方法

作者将三个自回归分布滞后 (ARDL) 模型应用于 1963 年至 2018 年的州级农田价值面板数据，以估计利率变化对美国农田市场的动态影响。我们专注于 I 州、湖泊州和大平原州。研究中的模型捕捉了政策变化对土地价值的短期和长期影响。

发现

作者发现联邦基金利率的变化对农田价值有长期影响，因为利率变化的全部影响至少需要十年才能在农田价值中体现出来。结果显示，2019 年最近的三次联邦基金降息不足以抵消 2015-2018 年加息带来的下行压力，但 2020 年的降息可以。从 2022 年开始，美联储近期利率变动对农田价值的综合影响将在一段时间内产生积极影响。

原创性/价值

本文首次对美联储近期利率变动对农田价值的直接和长期影响进行了实证量化。作者展示了美联储在农田市场的政策选择的长期影响。