에너지경제연구 Korean Energy Economic Review Volume 11, Number 2, September 2012 : pp. 1~26 실물옵션을이용한해상풍력실증단지 사업의경제성평가 1

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1 에너지경제연구 Korean Energy Economic Review Volume 11, Number 2, September 2012 : pp. 1~26 실물옵션을이용한해상풍력실증단지 사업의경제성평가 1

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10 [ 그림 1] 해상풍력단지건설로드맵 10

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14 < 표 1> 회귀분석결과 14

15 < 표 2> 미래현금흐름추정결과 < 표 3> NPV 계산을위한위한변수값 15

16 < 표 4> NPV법을활용한경제성분석결과 16

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18 < 표 5> SMP 단위근검정결과 18

19 < 표 6> SMP 확률과정 (GBM) 추정결과 19

20 < 표 7> 옵션가격도출을위한변수들의값 < 표 8> 실물옵션을이용한해상풍력실증단지사업의가치 20

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23 접수일 (2012 년 7 월 10 일 ), 게재확정일 (2012 년 8 월 14 일 ) 23

24 pp.37~ KBR KOSPI pp.1~ R&D pp.173~ pp pp.217~ CO : CCS RPS pp.61~

25 Real Option IT. Black, F. and Scholes, M. J The Pricing of Options and Corporate Liabilities. Journal of Political Economy 81: pp Chan, K., Karolyi, G.A., Longstaff, F.A. and Sanders, A.B. 1992, An Empirical Comparison of Alternative Models of the Short-term Interest Rate, Journal of Finance 47: pp Dahlquist, M On alternative Interest Rate Process. Journal of Banking and Finance 20: Duffee, G. R Idiosyncratic Variation of Treasury Bill Yields. Journal of Finance 51: pp Eom, Y. H On Efficient GMM Estimation of Continuous -Time Asset Dynamics: Implications of the Term Structure of Interest Rates. working paper : Yonsei University. Frode, K A real option analysis of investment in hydropower : The case of Norway. Energy Policy 35: pp Larsen B. M Investments and Option Values in a Deregulated Electricity Sector. Proceeding of IAEE Conference Metcalf, G. E., and Hassett, K. A Investment under Alternative Return Assumptions Comparing Random Walks and Mean Reversion. Journal of Economic Dynamics and Control 19: pp Myers, S.C Determinants of Corporate Borrowing. Journal of Financial Economics 5: pp Myers, S. C Finance Theory and Financial Strategy. Midland Corporate Finance Journal 5: Schulmerich, M Real Options Valuation. Berlin : Springer. 25

26 ABSTRACT Although wind power has economic dominance over other renewable energy sources, onshore wind farm has some problems such as noise, land lease and unstability of both wind direction and intensity. Offshore wind farm can reduce these problems, leading to recently attracting attentions both domestically and internationally. This study conducts economic evaluation for the Step 1 Test Bed Construction Project outlined in the Southwestern Offshore Wind Plan published in November Considering the high uncertainty surrounding the offshore wind power, we adopt the real option method as evaluating method. The project is evaluated as having about the profit of 1,000 billion won including the growth option value of about 830 billion won. This result of high option value implies a cautious decision process is required for the project. Key Words : Offshore wind power, Option to grow, Real option JEL Codes : Q21, Q42 26

에너지경제연구제 16 권제 1 호 Korean Energy Economic Review Volume 16, Number 1, March 2017 : pp. 35~55 학술 전력시장가격에대한역사적요인분해 * 35

에너지경제연구제 16 권제 1 호 Korean Energy Economic Review Volume 16, Number 1, March 2017 : pp. 35~55 학술 전력시장가격에대한역사적요인분해 * 35 36 37 38 39 40 41 < 표 1> 표본자료의기초통계량 42 [ 그림 1] 표본시계열자료의추이 43 < 표 2> 수준및로그차분변수에대한단위근검정결과