農業経営研究
Online ISSN : 2186-4713
Print ISSN : 0388-8541
ISSN-L : 0388-8541
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52 巻, 1-2 号
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研究論文
  • GARCH-M型モデルの適用による農地投資における可変リスクプレミアムの検証
    松原 昌彦
    2014 年 52 巻 1-2 号 p. 1-12
    発行日: 2014/07/25
    公開日: 2017/01/16
    DOIhttps://doi.org/10.11300/fmsj.52.1-2_1
    ジャーナル フリー
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    In farmland investment in Hokkaido, Tohoku and Hokuriku, there does appear to be some volatility-clustering in terms of excess returns, with the early 1980s, the mid 1990s, and late 1980s being comparatively tranquil periods. GARCH models can be applied to explain the empirical evidence of volatility-clustering observed over the four decades.

    This paper examines if there has been a time-varying risk premium in the returns to farmland (paddy fields) in the northeast parts of Japan using the GARCH-in-Mean framework.

    The results reveal that 1) rice-cultivating farmers tend to be risk averse, and 2) there has been a time-varying risk premium reaped in farmland in the areas over the four decades. Additionally, this paper finds significant time-varying volatility asymmetries in both the GJR and EGARCH models.

    There are three implications based upon these results. First, the time-varying risk premium is found to be inconsistent with the traditional present value model of farmland pricing that assumes a constant risk premium over time. Secondly, although the presence of a risk premium in agricultural land has rarely been debated in farmland pricing theory in Japan since the time of the agricultural land reform that began immediately after the Second World War, a time-varying risk premium must be highlighted as a part of a discount rate. Finally, the amount of total farmland transacted in Japan’s market has also varied over time, and/or will vary in the future because of time-variation.

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