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Examining volatility dynamics, spillovers and government water recovery in Murray-Darling Basin water markets

机译：在默里达令盆地水市场中检查波动动力学，溢出和政府水分回收

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Although participation in water markets is widespread among irrigators in the Murray-Darling Basin of Australia, there has been a lack of study on the dynamics of water markets, in particular price and volume dynamics, volatility and spillovers. Questions have also been raised regarding the impact on markets from governments buying back permanent water from consumptive use to return to environmental use. VARX-BEKK-GARCH time-series regression was used to model the water market dynamics of monthly permanent and temporary water market trade from 1997 to 2017 in one of the largest water markets in the Murray-Darling Basin, the Goulburn-Murray Irrigation District. Results suggest that the temporary market was more volatile than the permanent market, while persistency in volatility only exists in permanent markets. Unidirectional transmission spillovers exists in both markets from prices to volumes. The main drivers of temporary water prices were water scarcity related, while permanent prices were most significantly influenced by previous permanent water prices and current temporary water market prices. A statistically significant negative impact on temporary volume-traded from government water recovery (e.g. a 1% increase in water recovery resulted in a 0.14% reduction in water volume-traded) was found, but no significant impact from government recovery was found on temporary water prices, nor on permanent market prices and volumes. However, government water recovery increased the volatility of temporary market prices and volumes, signaling potential increased issues of risk and uncertainty for irrigators engaging in temporary water markets. (C) 2019 Elsevier B.V. All rights reserved.
机译：虽然参与水市场普遍存在澳大利亚默里 - 达令盆地的灌溉者普及，但缺乏对水市场的动态研究，特别是价格和体积动态，波动性和溢出效果。还提出了各国政府对市场的影响，从消费利用恢复环境用量的政府对市场的影响。 Varx-Bekk-GARCH时间系列回归用于将1997年至2017年为2017年到2017年在穆雷 - 穆雷灌区穆雷 - 穆雷灌区的最大水上市场之一来模拟月度永久和临时水市场贸易的水位动态。结果表明，临时市场比永久性市场更有波动，而波动性的持久性仅存在于永久性市场中。从价格到卷的市场都存在单向传输溢出率。临时水价的主要司机与水资源稀缺相关，而常用价格受到以前的永久性水价和当前临时水费价格的影响最大。发现了对政府水恢复的临时批量交易的统计学负面影响（例如，水分恢复增加1％，导致水分量交易减少0.14％），但在临时水中没有发现政府复苏的重大影响价格，也不是永久市场价格和卷。然而，政府水恢复增加了临时市场价格和卷的波动，发挥潜在增加临时水市场的灌溉者风险和不确定性的问题。 （c）2019年Elsevier B.V.保留所有权利。

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