Price volatility of agricultural land in Poland in the context of the European Union

Abstract

In this paper the price volatility of land in Poland is examined during the years 1992-2016. The analysis concentrates particularly on stationarity, variation and GARCH. Differences in land price changes in particular provinces in Poland are presented and land prices in Poland are compared with other EU countries. The land market in Poland is diverse. Purchasers can buy land from private owners in the market and from the government’s Agricultural Property Agency. Generally, land offered by the Agricultural Property Agency is cheaper, but it is also more difficult to purchase. The authors of the paper used and analyzed quarterly price data from the main Statistical Office in Warsaw in PLN. The survey found high variability for land prices in Poland. The price of agricultural land has increased significantly since the integration of Poland into the EU. In 2016 the average price of land from the (APA) Agricultural Property Agency increased by 791% and the average price of private agricultural land increased by 690.2% in comparison to 2004. The prices of land differ regionally in Poland. In 2016 compared to 2005 the price of land increased the most in Warmińsko-Mazurskie voivodeship (587,2%), Opolskie voivodeship (547,8%) and Lubuskie voivodeship (534,9%). In 2016 in comparison to 2005 the price of agricultural land increased the least in Małopolskie voivodeship (252,6%), Podlaskie voivodeship (295,0%) and Łódzkie voivodeship (304,9%). The study presents the descriptive statistics of agricultural land. The coefficient of variation of price changes in the years 2005-2016 was the highest in Slovakia (69,8%), Romania (60,4%) and Estonia (59,4%) and the lowest in Italy (9,2%) and France (12,1%). The ADF test (Augmented Dickey-Fuller test) shows that the agricultural land prices data can be classified as not stationary. The implication of the GARCH (Generalized Autoregressive Conditional Heteroskedasticity) model of price volatility of agricultural land is that conditional volatility cannot be confirmed.