Irreversible Investment under Regime-Switching Carbon Policy: An Analytical Real Options Model
レジームスイッチング炭素政策下の不可逆投資：分析的なリアルオプションモデル (AI 翻訳)
Manasi Goral, Talawar A. S.
🤖 gxceed AI 要約
日本語
本論文は、炭素政策の不確実性（低炭素税と高炭素税の間のレジームスイッチング）を考慮したリアルオプションモデルを構築し、不可逆的投資の閾値を解析的に導出した。高炭素税レジームでは炭素税が投資を抑制し閾値を上昇させることを示し、政策スイッチの頻度が中程度の場合に待機オプション価値が上昇する非単調な効果を発見した。規制の安定性が投資判断に重要であることを定量的に示している。
English
This paper develops a regime-switching real options model to examine irreversible investment under uncertain carbon policy, alternating between low- and high-carbon tax regimes. It finds that carbon taxes deter investment and raise thresholds under the high tax regime, and that switching intensity has a non-monotonic effect: medium uncertainty increases the option value of waiting, while high switching reduces thresholds. The results highlight the importance of regulatory stability for investment.
Unofficial AI-generated summary based on the public title and abstract. Not an official translation.
📝 gxceed 編集解説 — Why this matters
日本のGX文脈において
日本では炭素価格制度の本格導入が検討されており、政策の安定性や移行リスクが企業投資に与える影響を評価する上で、本モデルは示唆に富む。特に、制度設計の変更が投資判断に非線形な影響を与える点は、実務家や政策担当者が留意すべき知見である。
In the global GX context
This paper contributes to the global discourse on carbon pricing and climate policy uncertainty, providing a rigorous analytical framework relevant to TCFD and ISSB disclosures that emphasize scenario analysis and resilience under regulatory transitions. The non-monotonic effect of policy-switching intensity offers a nuanced insight for designing stable carbon pricing mechanisms.
👥 読者別の含意
🔬研究者:The analytical real options model with regime-switching carbon tax provides a tractable framework for further study of policy uncertainty and investment under climate regulation.
🏢実務担当者:The results can inform corporate investment strategies by quantifying how carbon tax levels and stability affect thresholds for irreversible projects.
🏛政策担当者:The non-monotonic impact of switching intensity suggests that moderate policy uncertainty may delay investment, while highly unstable regimes can paradoxically accelerate it — a key consideration for designing credible carbon pricing paths.
📄 Abstract（原文）
In this paper regime switching real options framework is created to examine the irreversible investment with uncertain carbon policy. The model includes low and high transition between low- and high-carbon tax regimes and it represents both market uncertainty and regulatory uncertainty. The output prices with diffusion and the policy with a continuous time Markov chain are followed. Continuation value expressions are obtained and value-matching and smooth-pasting conditions are used to characterize regime dependent investment thresholds. Through the analysis, the existence and uniqueness of optimal triggers are established, and its sensitivity to carbon taxation and the intensity of a policy switch are determined. Empirical evidence indicates that, under the high tax regime, carbon taxes deter investment and increase thresholds; and inequality in the policy regime increases the distance between regime-specific triggers. The impact of switching intensity is non-monotonic: medium levels of uncertainty cause the option value of waiting to rise, whilst high levels of switching cause thresholds to fall. The results point to relevance of carbon policy and regulatory stability when making investment decisions.
🔗 Provenance — このレコードを発見したソース
- openalex https://doi.org/10.32628/ijsrst2613395first seen 2026-05-23 05:10:32 · last seen 2026-05-27 04:31:27
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