The option value of government guarantees in infrastructure projects
The option value of government guarantees in infrastructure projects
复制标题
DOI：
10.1080/01446190802428051
复制
发表时间：
2008-11
影响因子：
3.4
通讯作者：
L. E. Brandão;Eduardo C. G. Saraiva
中科院分区：
文献类型：
--
作者：
L. E. Brandão;Eduardo C. G. Saraiva
许多国家的政府一直在寻求私人资本参与公共基础设施投资项目，它们认为这是克服预算限制和促进经济增长的一种方式。对于某些类型的项目，这种投资可能需要政府以项目担保的形式参与，以减少私人投资者的风险，因此，政府承担了可能对未来预算产生重大影响的或有负债。我们提出了一个最低交通保证（MTG）真实的期权模型，不同于该领域的大多数文献，通过使用市场数据来确定随机项目参数。这种模式可用于评估这些担保的价值，使政府能够分析每一级支助的成本效益，并提出一种替代办法，以限制政府的风险，同时仍然保持私人投资者的利益。我们将此模型应用于预计的1000英里长的BR ‐ 163收费公路，该公路将连接巴西中西部和亚马逊河。我们的结论是，使用公私合作伙伴关系（PPP）的保证和上限的政府总支出可以有效地模拟使用期权定价方法，可以是一个解决方案，以吸引私人投资高风险的公共基础设施项目。
The participation of private capital in public infrastructure investment projects has been sought by many governments who perceive this as a way to overcome budgetary constraints and foster economic growth. For some types of projects, this investment may require government participation in the form of project guarantees in order to reduce the risk to the private investor, and as a consequence, the government assumes a contingent liability which may have significant future budgetary impacts. We present a minimum traffic guarantee (MTG) real options model that differs from most of the literature in the field by using market data to determine stochastic project parameters. This model can be used to assess the value of these guarantees, allows the government to analyse the cost–benefit of each level of support, and proposes an alternative to limit the exposure of the government while still maintaining the benefits to the private investor. We apply this model to the projected 1000 mile long BR‐163 toll road that will link the Brazilian Midwest to the Amazon River. We conclude that the use of public–private partnerships (PPP) with guarantees and caps on total government outlays can be modelled effectively using option pricing methods and can be a solution to attract private investment to high risk public infrastructure projects.