基于实物期权的碳税政策对CCS项目投资决策影响研究  

Research on the Effect of Carbon Tax Policy on CCS Projects Investment Decision Based on Real Option

作　　者：林则夫[1] 文书洋[2] 宋斌[1] 

机构地区：[1]中央财经大学管理科学与工程学院,北京100081 [2]西南财经大学中国金融研究中心,四川成都610074

出　　处：《中国人口·资源与环境》2015年第9期13-20,共8页China Population,Resources and Environment

基　　金：教育部人文社科基金"金融危机背景下大项目融资的风险分担模式选择与决策优化研究"(编号:09YJC630239)

摘　　要：全球变暖对人类的生存和发展造成了巨大的威胁。作为一个崛起中的大国,节能减排、保护环境是中国不可避免的责任更是可持续发展的要求。碳捕集与封存(CCS)技术可以实现短期大量减排,受到各国重视。CCS项目具有不确定性,投资者在投资过程中具有较高的决策灵活性。本文在考虑CCS投资特点的基础上,建立了基于实物期权CCS项目投资决策模型。大量研究表明碳排放政策是影响投资者决策的重要因素,本文设定税率为政策变量,给出了包含推迟期权价值的CCS项目价值函数。假设使得CCS项目价值为正的最低税率是最佳的税率。以项目价值函数等于零为临界条件求解模型得到临界税率与其他技术经济变量的隐函数。最后,本文结合案例用数值仿真的方法研究了各技术经济变量对临界税率的影响。发现税收政策的有效性主要受到碳交易价格、无风险利率以及CCS项目的投资额的影响。最后根据研究发现提出了政策建议。Global warming is a challenge and threat for human beings. As a rising power, China has its own obligation to contribute to emission reduction which is also a requirement of sustainable development. CCS technology plays an important role in emission reduction for its ability to achieve large amount of reduction in a short time. CCS investment is full of uncertainty, the investors have flexibility during the process. In this paper, the characteristics of CCS investment was taken into account, and the investment decision model of CCS investment was build. Researches show that policy on CO2 emission is a key factor of CCS project investment decision. In this study, carbon tax rate is set as policy variable. Function of project value of CCS is given, which take the value of real option into consideration. Under the assumption that as long as the tax rate is able to make manufacturers to invest in CCS, the policy is effective and the smallest effective rate is the best rate which gives manufacturers more profit, the model is solved according to the critical condition that value function of CCS equals to zero. As a result, an implicit function of parameters a critical tax rate is derived. In the last part of the study, sensitive analysis is done using numerical simulation. The effectiveness of carbon tax policy is found to be highly influenced by carbon price, risk free rate and the amount of investment. Policy strategy is recommended according to the findings.

关 键 词：碳捕集与封存 实物期权 碳排放税 投资决策 

分 类 号：F27[经济管理—企业管理]