자원ㆍ환경경제연구 (Environmental and Resource Economics Review)
- 제14권3호
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- Pages.753-773
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- 2005
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- 1229-9146(pISSN)
실물옵션 게임을 이용한 OPEC의 원유공급 투자모형
An Investment Model for OPEC Crude Oil Supply with Real Option Game
초록
시장점유율을 고려한 OPEC와 비OPEC의 게임을 고려한 원유공급 투자모형을 분석한다. 국제유가의 불확실성을 반영하기 위하여 확률투자모형인 실물옵션 모형을 이용한다. 원유공급시설의 확장 및 감축을 위한 조정은 국제유가로 표시되는 분기점으로 나타난다. 국제유가가 확장(감축)분기점을 초과(하회)하면 OPEC는 공급시설을 확장(감축)한다. 최근 국제유가를 활용한 시뮬레이션 분석 결과, 확장분기점은 배스켓 가격 기준으로 높게는 56.93달러/배럴, 낮게는 48.44달러/배럴인 것으로 나타났으며, 감축분기점은 36.52달러/배럴과 36.93달러/배럴 사이에 머무는 것으로 나타났다.
This paper is a study of the investment dynamics focusing on crude oil supply by OPEC and non-OPEC. Oil supply capacity is first determined by a leader, OPEC, and by an aggregate that represents non-OPEC producers. OPEC wants to increase a gain from oil price increase while keeping its market share relative to non-OPEC's share. An investment rule model is developed for OPEC crude oil supply capacity in response to non-OPEC's decision. In presence of oil price uncertainty, oil price threshold is derived above which it is optimal for OPEC to expand oil supply capacity since otherwise the increased supply of non-OPEC results in weakening of OPEC market share in the world oil market. In addition, a lower threshold price is derived below which OPEC triggers a capacity reduction to regain its otherwise forgone profits. A simulation is provided for calculating the capacity expansion and reduction thresholds.