Real Options Study on Nuclear Phase Down Policy under Knightian Uncertainty

doi:10.15266/KEREA.2019.28.2.177

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2019 Vol.28, Issue 2 Next Page

Research Paper

Real Options Study on Nuclear Phase Down Policy under Knightian Uncertainty 전력수요의 중첩 불확실성을 고려한 원전축소 정책의 실물옵션 연구: 박호정*, 이상준**
Hojeong Park* and Sangjun Lee**; *고려대학교 식품자원경제학과 교수, KU․KIST그린스쿨 겸임교수, 제1저자(e-mail: hjeongpark@korea.ac.kr)
**에너지경제연구원 연구위원, 교신저자(e-mail: sjlee@keei.re.kr)

*Professor, Department of Food and Resource Economics, Adjunct Professor, KU KIST Green School, First author(e-mail: hjeongpark@korea.ac.kr)
**Research Fellow, Korea Energy Economics Institute, Corresponding author(e-mail: sjlee@keei.re.kr)

30 June 2019. pp. 177~200

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Abstract

Energy demand forecast which serves as an essential input in energy policy is exposed to multiple factors of uncertainty such as GDP and weather forecast uncertainty. The Master Plan of Electricity Market in Korea which is biennially prepared is critically based on fluctuating energy demand forecast whereas its resulting proposal on electricity generation mix is substantially irreversible. The paper provides a real options model to evaluate energy transition policy by considering Knightian uncertainty as a measure to study multiple uncertainties with multiple set of probability distributions. Our finding is that the current energy transition policy under the master plan is not robust in terms of securing stable management of electricity demand and supply system.

Keywords

Knightian uncertainty

Nuclear phase down

Real options

전력수급계획의 근간이 되는 전력수요 전망은 GDP와 기상변수 등 다양한 요인에 의해 영향을 받기 때문에 확률 프로세스로 이해할 수 있다. 이 전망치를 바탕으로 전력설비의 구성방안이 수립되는데, 실제 의사결정 과정은 주어진 확률분포에 대한 정보가 온전하다고 가정한다는 한계를 가진다. 그러나 현실적으로는 확률분포 자체의 중첩 불확실성이 존재하기 때문에 강건한 최적계획(robust optimization)의 수립이 필요하다. 본 논문은 중첩 불확실성을 포함한 발전설비 조정의 최적의사결정을 연구한다. 구체적으로 원자력의 감축투자 관련 실물옵션 모형을 수립하고 우리나라 전력수급기본계획의 특성을 고려한 중첩 불확실성하에서 원전감축 투자를 분석한다. 분석 결과, 현재의 원전축소 정책은 전력수요 증가율이 낮다는 것을 전제로 한 정책으로서 전력수요 증가에 대응할 수 있는 정책 강건성을 갖추지는 못한다는 것을 보여준다.

키워드

중첩 불확실성

강건 최적화

실물옵션

원전축소 정책

References

Alonzo, D., Knightian uncertainty in banking crisis, LUISS, 2014.
Caballero, R. J. and A. Krishnamurthy, “Collective risk management in a flight to quality episode,” Journal of Finance, Vol. 63, No. 5, 2008, pp. 2195~2230. 10.1111/j.1540-6261.2008.01394.x
Chang, F-R., Stochastic Optimization in Continuous Time, Cambridge, 2004.10.1017/CBO9780511616747
Chen, Y-F., M. Funke, and N. Glanemann, Dark clouds or silver linings? Knightian uncertainty and climate change, CESifo working paper No.3516, 2011.
Cox, J. C., and C-F. Huang, “Optimal consumption and portfolio policies when asset prices follow a diffusion process,” Journal of Economic Theory, Vol. 49, No. 1, 1989, pp. 33~83.10.1016/0022-0531(89)90067-7
Epstein, L. G., and T. Wang, “Intertemporal asset pricing under Knightian uncertainty,” Econometrica, 1994, pp. 283~322.10.2307/2951614
Hansen, L. P., and T. Sargent, Robustness, Princeton University Press, 2016.
Ilut, C., and M. Schneider, Ambiguous business cycles, NBER, 2012.22301896
Karatzas, I., S. E. Shreve, Brownian Motion and Stochastic Calculus, Springer, 1991.
Knight, F.H., Risk, Uncertainty and Profit, Houghton Mifflin, 1921.
Lund, D., “How to analyze the investment-uncertainty relationship in real option models?,” Review of Financial Economics, Vol. 14, 2005, pp. 311~322.10.1016/j.rfe.2004.10.001
Nishimura, K. G., and H. Ozaki, “Irreversible investment and Knightian uncertainty,” Journal of Economic Theory, Vol. 136. No. 1, 2007, pp. 668~894.10.1016/j.jet.2006.10.011
Nishimura, K. G., and H. Ozaki, Economics of Pessimism and Optimism, Springer, 2017.10.1007/978-4-431-55903-0
Park, H., “Real option analysis for effects of emission permit banking on investment under abatement cost uncertainty,” Economic Modelling, Vol. 29, No. 4, 2012, pp. 1314~1321.10.1016/j.econmod.2012.04.012
Pritsker, M., “Knightian uncertainty and interbank lending,” Journal of Financial Intermediation, Vol. 22, No. 1, 2013, pp. 85~105.10.1016/j.jfi.2012.09.001
Schrӧder, D., “Investment under ambiguity with the best and worst in mind,” Mathematical Financial Economics, Vol. 4, No. 2, 2013, pp. 107~133.10.1007/s11579-011-0036-3
Valenti, D., B. Spagnolo, and G. Bonanno, “Hitting time distributions in financial markets,” Physica A, Vol. 382, No. 1, 2007, pp. 311~320.10.1016/j.physa.2007.03.044
Wilmott, P., Paul Wilmott on Quantitative Finance, Willey, 2000.

Information

Publisher :Environmental and Resource Economics Review
Publisher(Ko) :자원 · 환경경제연구
Journal Title :자원·환경경제연구
Journal Title(Ko) :Environmental and Resource Economics Review
Volume : 28
No :2
Pages :177~200
DOI :https://doi.org/10.15266/KEREA.2019.28.2.177

[1] Alonzo, D., Knightian uncertainty in banking crisis, LUISS, 2014.

[2] Caballero, R. J. and A. Krishnamurthy, “Collective risk management in a flight to quality episode,” Journal of Finance, Vol. 63, No. 5, 2008, pp. 2195~2230. 10.1111/j.1540-6261.2008.01394.x

[3] Chang, F-R., Stochastic Optimization in Continuous Time, Cambridge, 2004.10.1017/CBO9780511616747

[4] Chen, Y-F., M. Funke, and N. Glanemann, Dark clouds or silver linings? Knightian uncertainty and climate change, CESifo working paper No.3516, 2011.

[5] Cox, J. C., and C-F. Huang, “Optimal consumption and portfolio policies when asset prices follow a diffusion process,” Journal of Economic Theory, Vol. 49, No. 1, 1989, pp. 33~83.10.1016/0022-0531(89)90067-7

[6] Epstein, L. G., and T. Wang, “Intertemporal asset pricing under Knightian uncertainty,” Econometrica, 1994, pp. 283~322.10.2307/2951614

[7] Hansen, L. P., and T. Sargent, Robustness, Princeton University Press, 2016.

[8] Ilut, C., and M. Schneider, Ambiguous business cycles, NBER, 2012.22301896

[9] Karatzas, I., S. E. Shreve, Brownian Motion and Stochastic Calculus, Springer, 1991.

[10] Knight, F.H., Risk, Uncertainty and Profit, Houghton Mifflin, 1921.

[11] Lund, D., “How to analyze the investment-uncertainty relationship in real option models?,” Review of Financial Economics, Vol. 14, 2005, pp. 311~322.10.1016/j.rfe.2004.10.001

[12] Nishimura, K. G., and H. Ozaki, “Irreversible investment and Knightian uncertainty,” Journal of Economic Theory, Vol. 136. No. 1, 2007, pp. 668~894.10.1016/j.jet.2006.10.011

[13] Nishimura, K. G., and H. Ozaki, Economics of Pessimism and Optimism, Springer, 2017.10.1007/978-4-431-55903-0

[14] Park, H., “Real option analysis for effects of emission permit banking on investment under abatement cost uncertainty,” Economic Modelling, Vol. 29, No. 4, 2012, pp. 1314~1321.10.1016/j.econmod.2012.04.012

[15] Pritsker, M., “Knightian uncertainty and interbank lending,” Journal of Financial Intermediation, Vol. 22, No. 1, 2013, pp. 85~105.10.1016/j.jfi.2012.09.001

[16] Schrӧder, D., “Investment under ambiguity with the best and worst in mind,” Mathematical Financial Economics, Vol. 4, No. 2, 2013, pp. 107~133.10.1007/s11579-011-0036-3

[17] Valenti, D., B. Spagnolo, and G. Bonanno, “Hitting time distributions in financial markets,” Physica A, Vol. 382, No. 1, 2007, pp. 311~320.10.1016/j.physa.2007.03.044

[18] Wilmott, P., Paul Wilmott on Quantitative Finance, Willey, 2000.

자원·환경경제연구 ISSN:1229-9146(Print) Environmental and Resource Economics Review

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