Utilize este identificador para referenciar este registo:
https://hdl.handle.net/1822/65729
Título: | Investment decisions with finite-lived collars |
Autor(es): | Adkins, Roger Paxson, Dean Pereira, Paulo J. Rodrigues, Artur |
Palavras-chave: | Finite collars Perpetual collars Retractable collars Investment opportunities |
Data: | 1-Jun-2019 |
Editora: | Elsevier Science BV |
Revista: | Journal of Economic Dynamics and Control |
Citação: | Adkins, R., Paxson, D., Pereira, P. J., & Rodrigues, A. (2019). Investment decisions with finite-lived collars. Journal of Economic Dynamics and Control, 103, 185-204 |
Resumo(s): | The duration of most collar arrangements provided by governments to encourage early investment in infrastructure, renewable energy facilities, or other projects with social objectives are finite, not perpetual. We extend the previous literature on collar-style arrangements by providing an analytical solution for the idle and active values, as well as the investment triggers, for projects where collars are either finite-lived or retractable. What is the difference between these types of arrangements with their perpetual counterpart? Lots, including different vega signs, and substantially different values for different current price levels. Often, finite and retractable collars justify earlier investment timing than perpetual collars. In general, we demonstrate that the finite-lived and retractable versions have a significant impact on optimal behavior, relative to the perpetual case. An important consideration when negotiating the floors, ceilings, and duration (or signalling the expected duration) of a finite or a retractable collar is the current price level of the output and its expected volatility over the life of the contract. (C) 2019 Elsevier B.V. All rights reserved. |
Tipo: | Artigo |
URI: | https://hdl.handle.net/1822/65729 |
DOI: | 10.1016/j.jedc.2019.04.008 |
ISSN: | 0165-1889 |
e-ISSN: | 1879-1743 |
Versão da editora: | https://www.sciencedirect.com/science/article/pii/S0165188918302999 |
Arbitragem científica: | yes |
Acesso: | Acesso aberto |
Aparece nas coleções: | NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica |
Ficheiros deste registo:
Ficheiro | Descrição | Tamanho | Formato | |
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Finite_Collar.pdf | 1,48 MB | Adobe PDF | Ver/Abrir |