DOI QR코드

DOI QR Code

Optimal Issuance Price of Carbon Credits in the Energy Industry

에너지산업 분야 탄소배출권의 적정 발행가격 분석

  • Sungsoo Lim (Department of Economics and Trade, Konkuk University)
  • 임성수 (건국대학교 경제통상학과)
  • Received : 2024.04.01
  • Accepted : 2024.06.20
  • Published : 2024.06.28

Abstract

In this study, the optimal level of CER issuance price in the energy industry was estimated using a real options considering the uncertainty of emission price. As a result of the analysis, the break-even point for CDM projects in the energy industry registered by UNFCCC from December 2012 to the end of 2021 was 0.64-36.69 euros per ton of CO2 for each individual project. More closely, the emission permit price that reaches the break-even point when NPVw/o CER+ NPVCER ≥ 0 is estimated to be 12.10 euros on average, and the emission permit price that reaches the break-even point when NPVw/o CER + NPVCER ≥ option value is estimated to be 12.63 euros on average. Meanwhile, the option value using real options to reduce business uncertainty is about 19% at the 1-5 euro per ton level, about 11% at the 5-10 euro per ton level, and about 5% at the 10-15 euro per ton level. It was analyzed that there was an effect of increasing emissions prices due to uncertainty reduction. The results of this study may be useful to greenhouse gas reduction project entities, including investors, project operators, and companies with potential mandatory reductions.

본 연구에서는 에너지산업 부문의 CER 발행가격의 적정 수준은 어느 수준인지를 배출권가격의 불확실성을 고려한 실물옵션 기법을 통하여 추정하였다. 분석결과 UNFCCC에서 2012년 12월부터 2021년 말까지 등록한 에너지산업 부문 CDM 사업의 손익분기점은 개별사업별로 CO2톤당 0.64-36.69유로로 나타났다. NPVw/o CER+ NPVCER≥0일 때 손익분기점에 도달하는 배출권가격은 평균 12.10유로이며, NPVw/o CER+ NPVCER ≥ 옵션가치일 때 손익분기점에 도달하는 배출권가격은 평균 12.63유로로 추정되었다. 한편, 사업의 불확실성을 경감하기 위해 실물옵션을 적용한 옵션가치는 톤당 1-5 유로 수준에서는 약 19%, 톤당 5-10유로 수준에서는 약 11%, 톤당 10-15유로 수준에서는 약 5%만큼의 불확실성 경감으로 인한 배출권가격의 상승효과가 있는 것으로 분석되었다. 투자자, 사업시행자, 잠재적 의무감축기업으로 대표되는 온실가스 감축 사업 주체들이 본 연구 결과를 참고할 경우 그간 에너지부문에서 시행됐던 온실가스 감축 사업의 개별사업별 발행가격을 확인할 수 있어 사업투자 의사결정에 유용할 수 있다.

Keywords

References

  1. World Economic Forum. (2020, January). The Global Risks Report 2020. (pp. 10-11). Geneva: World Economic Forum.
  2. S.Y. Kim & H.J. Park. (2008). Price discovery process and causality analysis of EU carbon credits. Journal of Economic Studies, 26(1), 1- 20. UCI : I410-ECN-0102-2009-320-008888485
  3. S.S. Lim, & S.R. Yang. (2010). Analysis of Optimal Issuance Price regard to Economic Feasibility. Environmental and Resource Economics Review, 19(4), 829-852. UCI : G704-000752.2010.19.4.005
  4. S.W. Lho. (2011). A Test on Price Volatility of CO2 Emission Trading Permits focusing on ECX and CCX. Journal of Environmental Policy and Administration, 10(2), 45-60. DOI : 10.17330/joep.10.2.201106.45
  5. S.C. Park & Y.S. Cho. (2013). Analysis on Price Driver of Spread and Different Patterns of EUA and sCER. Environmental and Resource Economics Review, 22(4), 759-784. UCI : G704-000752.2013.22.4.005
  6. D.W. Noh, I.S. Son, J.M. Lim & S.I. Kim. (2021). Comparison of Greenhouse Gas (GHG) Emission Abatement Cost of Clean Development Mechanism (CDM) Activities in Four Countries Chile, Peru, Vietnam, and Malaysia. Journal of Climate Change Research. 12(5), 613-643. DOI : 10.15531/KSCCR.2021.12.5.613
  7. A.K. Dixit & R.S. Pindyck. (1994). Investment under Uncertainty. New Jersey: Princeton University Press.
  8. L. Trigeorgis. (1996). Real Options : Managerial Flexibility and Strategy in Resource Allocation. Massachusetts: The MIT Press.
  9. M. Isik. (2004). Incorporating Risk Preferences into Real Options Models. Paper Presented at the American Agricultural Economics Association Annual Meeting. Denver, Colorado.
  10. F. Black.(1976). The Pricing of Commodity Contracts. Journal of Financial Economics. 3, 167-179. DOI : 10.1016/0304-405X(76)90024-6
  11. T.S. Kim. (2009). Secrets of the carbon market. The Gyeongmun Press.
  12. J. Mun. (2002). Real Options Analysis : Tools and Techniques for Valuing Strategic Investments and Decisions. New Jersey: John Wiley & Sons.