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Des rentes classiques aux options de rentes. Une analyse de l'évolution du prix des terres en France

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  • Jean Cavailhès
  • Alban Richard
  • Nathalie Taverdet

Abstract

[eng] Land prices are generally calculated as the Present Value of their rents. However in the seventies, many statistical models have shown discrepancies when land prices began to decrease. In this paper an autoregressive model has been tested on the French data for the période 1961-1993. Statistical tests are good on the whole but large residues appear at some critical years. A theoretical model based on the option values of expected alternative rents is developed and simulated to explain such discrepancies. [fre] Le prix des terres est généralement expliqué à partir de la valeur actualisée de leurs rentes. Cependant, de nombreux modèles statistiques ont montré des écarts élevés entre variables observées et calculées lors de la chute rapide du prix des terres dans les années soixante-dix. Dans cet article, un modèle adaptatif a été testé sur les données françaises pour la période 1961-1993. Si, dans l'ensemble, les tests statistiques sont bons, des résidus élevés apparaissent certaines années. Un modèle théorique, fondé sur les valeurs d'option des rentes alternati­ves anticipées, a été développé et simulé pour expliquer de tels résidus.

Suggested Citation

  • Jean Cavailhès & Alban Richard & Nathalie Taverdet, 1996. "Des rentes classiques aux options de rentes. Une analyse de l'évolution du prix des terres en France," Revue Économique, Programme National Persée, vol. 47(4), pages 963-981.
    • Handle: RePEc:prs:reveco:reco_0035-2764_1996_num_47_4_409830
    DOI: 10.3406/reco.1996.409830
    Note: DOI:10.3406/reco.1996.409830
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