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碳交易价格对企业减排投资决策的影响

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碳交易价格波动带来的不确定性对于被纳入碳交易体系的高碳企业的减排投资决策有显著影响.已有文献多运用实物期权方法对碳交易价格波动下企业投资减排项目的投资阈值、参数敏感性等进行分析,但是这些研究多数使用的是基于几何布朗运动的实物期权模型.均值回归较几何布朗运动能够更好地刻画碳交易价格的波动,并以煤制油项目的减排项目投资为例进行比较分析.研究结果表明,相同参数环境下,基于几何布朗运动的实物期权模型可能会低估减排项目的价值和投资的碳阈值.
The impact of carbon trading prices on firms'investment decisions to reduce emissions-under two fluctuations of geometric brownian motion and mean regression
The uncertainty caused by the fluctuation of carbon trading price has a significant impact on the investment decision of carbon-intensive enterprises that are included in the carbon trading system.There are a lot of studies that use the Real-Option method to analyze the investment threshold and parameter sensitivity of enterprises to invest in emission reduction projects under the fluctuation of carbon trading price,but most of these studies use the real option model based on Geometric Brownian Motion.This paper holds that Mean Reversion is better than Geometric Brownian Motion to describe the fluctuation of carbon trading price.The results show that the Geometric Brownian Motion model may underestimate the value of carbon reduction projects and the carbon threshold of emission-reduction project investment under the same parameters.

carbon trading price volatilityemission reduction investmentmean reversiongeometric Brownian motioninvestment thresholdparameter sensitivity

彭佳、王宇璇、徐德生

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内蒙古工业大学经济管理学院,内蒙古呼和浩特 010051

碳交易价格波动 减排投资 均值回归 几何布朗运动 投资阈值 参数敏感性

2024

煤炭经济研究
煤炭科学研究总院 中国煤炭经济研究会

煤炭经济研究

CSTPCDCHSSCD
影响因子:0.414
ISSN:1002-9605
年,卷(期):2024.44(12)