Econ Papers Daily / 期刊论文
磷回收投资中的商品价格风险
Commodity price risk in phosphorus recycling investments
摘要
There are optimistic targets for phosphorus recycling from waste streams to solve environmental and supply issues simultaneously. The recycling process requires high energy inputs, thus the joint distribution of (input) energy and (output) fertilizer commodity prices is a crucial determinant of the profitability of investing. We propose a methodology to model the investment risk and price dependencies using quantile vector autoregression and copulas. Moreover, we show that standard approaches overestimate the variance of investment returns. Finally, we find that phosphorus recycling investments are only profitable with substantial subsidies or savings on disposal expenditures.
中文摘要
针对从废物流中回收磷以同时解决环境与供应问题的乐观目标，回收过程需要高能量投入，因此（投入）能源与（产出）肥料商品价格的联合分布是投资盈利性的关键决定因素。我们提出了一种方法，利用分位数向量自回归和连接函数来建模投资风险与价格依赖性。此外，我们表明标准方法高估了投资回报的方差。最后，我们发现磷回收投资仅在获得大量补贴或节省处置支出时才具有盈利性。