Econ Papers Daily / 期刊论文
投资澳大利亚水权与其他投资的价值随时间变化比较如何？
How Does the Value of Investing in Australian Water Entitlements Compare to Other Investments Over Time?
摘要
Water markets are widely recognised for enhancing the efficient use and redistribution of water, with the southern Murray‐Darling Basin (MDB) in Australia considered the most advanced water market worldwide. This study applies a Dynamic Conditional Correlation Generalised Autoregressive Conditional Heteroskedasticity (DCC‐GARCH) model to provide a long‐run assessment of MDB water entitlements as financial assets, evaluating their value, hedging capacity and safe‐haven potential relative to national investment portfolios. We use monthly water trade data (from 1993 to 2025) from one of the longest operating irrigation water areas in the MDB, the Goulburn‐Murray Irrigation District. Investing in permanent water entitlements over this time period exhibited strong returns of around 20%, surpassing, on average, the Australian stock market and real estate investment options, although these returns fluctuate in line with various cycles. The results suggest that water entitlements act as a hedge against equity, forex and urban real estate markets, with this hedging role strengthening markedly after the 2007 water unbundling reform. Water entitlements also provide safe‐haven benefits to owners during financial market turmoil, particularly compared to the stock market. The findings are consistent with the existing literature, indicating that the Australian water market is becoming more liquid, more widely used and increasingly heterogeneous.
中文摘要
水市场因提升水资源的高效利用与再分配而广受认可，其中澳大利亚南部墨累—达令盆地（MDB）被视为全球最先进的水市场。本研究运用动态条件相关广义自回归条件异方差（DCC‐GARCH）模型，对MDB水权作为一种金融资产进行长期评估，考察其相对于国家投资组合的价值、对冲能力以及避险潜力。我们使用来自MDB运营时间最长的灌溉水区之一——古尔本—墨累灌溉区——1993年至2025年的月度水交易数据。在此期间，投资永久水权表现出约20%的强劲回报，平均而言超过澳大利亚股票市场和房地产投资选择，尽管这些回报会随各种周期而波动。结果表明，水权可作为对股票、外汇和城市房地产市场的对冲工具，且这一对冲作用在2007年水权拆分改革后显著增强。水权还在金融市场动荡期间为持有者提供避险收益，尤其是相对于股票市场而言。这些发现与现有文献一致，表明澳大利亚水市场正变得更具流动性、更广泛使用且日益异质化。