An Examination of Farm Sector Real Asset Dynamics: 1910–85
An Examination of Farm Sector Real Asset Dynamics: 1910–85
复制标题
对农业部门实物资产动态的考察：1910-85
DOI：
10.2307/1241689
复制
发表时间：
1987
影响因子：
4.2
通讯作者：
T. G. Baker
中科院分区：
文献类型：
--
作者：
Allen M. Featherstone;T. G. Baker
利用向量自回归研究了真实的农业资产价值对净收益率和利率变化的动态响应。研究结果表明，真实的资产价值、真实的资产收益率或真实的利率的冲击会导致真实的资产价值反应过度。在最初阶段，对冲击的反应立即发生，随后资产价值持续增加，最长可达六年，直到一次性的短暂冲击的影响开始消失。结果表明，市场有泡沫倾向。
The dynamic response of real farm asset values to changes in net returns and interest rates is studied using vector autoregression. Results show that a shock in real asset values, real returns to assets, or real interest rates leads to a process in which real asset values overreact. In the initial period, a reaction to a shock immediately occurs followed by a continued build-up in the asset value for up to six years until finally the effect of the one-time, transitory shock begins to die out. The results suggest a market with a propensity for bubbles.