Abstract

Meeting ambitious sustainability targets motivated by climate change concerns requires the structural transformation of many industries and the careful alignment of firm- and Government-level policymaking. While private firms rely on Government support to achieve timely the necessary green investment intensity, Governments rely on private firms to tackle financial constraints and technology transfer. This interaction is analysed in the real options literature only under risk neutrality, and, consequently, the implications of risk aversion due to the idiosyncratic risk that green technologies entail are overlooked. To analyse how this interaction impacts a firm’s investment policy and a Government’s subsidy design under uncertainty and risk aversion, we develop a real options framework, whereby: (i) we solve the firm’s investment problem assuming an exogenous subsidy; (ii) conditional on the firm’s optimal investment policy, we address the Government’s optimisation objective and derive the optimal subsidy level; (iii) we insert the optimal subsidy level in (i) to derive the firm’s endogenous investment policy. Contrary to existing literature, results indicate that greater risk aversion lowers the amount of installed capacity yet postpones investment. Also, although greater uncertainty raises the optimal subsidy under risk neutrality, the impact of uncertainty is reversed under high levels of risk aversion.

摘要

实现由气候变化问题引发的雄心勃勃的可持续发展目标需要许多行业的结构转型以及公司和政府层面决策的仔细调整。私营公司依靠政府支持及时实现必要的绿色投资强度，而政府则依靠私营公司来解决财务限制和技术转让问题。这种相互作用在实物期权文献中仅在风险中性下进行分析，因此，由于绿色技术带来的特殊风险而导致的风险规避的影响被忽略了。为了分析这种相互作用如何在不确定性和风险规避下影响公司的投资政策和政府的补贴设计，我们开发了一个实物期权框架，其中：(i) 我们在假设外生补贴的情况下解决公司的投资问题；(ii) 以公司的最优投资政策为条件，我们解决政府的优化目标并得出最优补贴水平；(iii) 我们在 (i) 中插入最优补贴水平以推导出公司的内生投资政策。与现有文献相反，结果表明更大的风险规避会降低装机容量，但会推迟投资。此外，尽管更大的不确定性会在风险中性下提高最优补贴，但在高风险规避水平下，不确定性的影响会逆转。(iii) 我们在 (i) 中插入最优补贴水平以推导出公司的内生投资政策。与现有文献相反，结果表明更大的风险规避会降低装机容量，但会推迟投资。此外，尽管更大的不确定性会在风险中性下提高最优补贴，但在高风险规避水平下，不确定性的影响会逆转。(iii) 我们在 (i) 中插入最优补贴水平以推导出公司的内生投资政策。与现有文献相反，结果表明更大的风险规避会降低装机容量，但会推迟投资。此外，尽管更大的不确定性会在风险中性下提高最优补贴，但在高风险规避水平下，不确定性的影响会逆转。