考虑碳价下限的发电商CCS投资策略与政策分析

Investment Strategy of CCS for Power Producer and Policy Analysis with Carbon Price Floor

针对发电量与碳价双重不确定的情况,构建考虑碳价下限的发电商CCS投资期权模型,在模型解析求解基础上,通过数值仿真,考察碳价下限、政府的投资补贴、税收减免等对发电商CCS期望投资时点的影响,研究结果表明:1)若碳价下限过低,即使政府的CCS投资补贴足够高,发电商也不会进行CCS投资;2)虽然税收减免可激励发电商进行CCS投资,但"直接补贴且正常征税"可节约政府的补贴资金。

In the 21 st century, the emissions of greenhouse gases have brought serious threats to human being＇s living environment. This growing concern has made carbon emission reduction an important topic in the international community. Because power industry is the main producer of carbon dioxide, its strategy of carbon emission reduction is very important in the sustainable movement.Carbon capture and storage（CCS） investment is a major research field about carbon emission to power producers, which contains many uncertainties, such as power demand, carbon trade price, and investment policy uncertainties. At present, most literatures model the carbon capture investment as an irreversible investment problem based on real option theory, and for simplicity, generally consider only one kind of uncertainty. Under power demand uncertainty and carbon trade price uncertainty, this paper presents an oligopoly power producer＇s carbon capture investment model. This model considers carbon price floor, and investigates the impact of carbon price floor, investment subsidy and tax policy on expected investment timing based on the analysis of a numerical simulation model. Empirical literatures on carbon trade price in Europe show that CO2 trade price follows Geometric Brownian motion. Electricity power demand is assumed to follow the Geometric Brownian motion, which is proved in many studies. Based on the findings of these literatures, section II of this paper presents an oligopoly power producer＇s CCS investment value function. This function considers carbon trade price floor, in which carbon trade price and power demand are variables. Applying Bellman equation and Ito＇s Lemma to solve the value function, we analyze three cases and obtain three partial differential equations. By solving the value matching and smooth pasting conditions of the real option theory in carbon price floor, we can obtain analytical solutions of oligopoly power producer＇s CCS investment value function, based on the solutions of above-mentioned differential equations. In addition, by comparing the values between investment and waiting to invest with classic real option method, we obtain the oligopoly power producer＇s CCS investment threshold conditions：（1） invest when real power demand is higher than the threshold, or（2） do not invest when the power demand threshold is the function of carbon trade price and carbon price floor. In section III of this paper, we use Matlab 2008 to examine numerical correlation between power demand quantity and carbon price in investment threshold with different carbon price floors based on the empirical data. In addition, we explore numerical solution of CCS investment threshold with Monte Carlo sampling method. The CCS investment threshold is stochastic due to the sample paths of two stochastic processes. In order to analyze stochastic properties of investment threshold, we sample the threshold for 5000 times, and construct histograms to examine the investment threshold＇s statistical attribute. In addition, in the case of same carbon price floor the effects of policy-related investment subsidy on expected investment timing and different tax policy on total subsidy are examined. In the end, from the perspective of saving total subsidy combination strategies, including carbon price floor and subsidy, are discussed if oligopoly power producers will invest immediately. In conclusion, power producer will not invest in CCS even if government＇s subsidy is high enough when carbon price floor is too low. Tax deduction or exemption is effective to induce earlier investment. However, it is rational for government to provide power producer with investment subsidy of CCS while simultaneously taxing its future profit.