Incorporating the value of changes in price volatility into cost-benefit analysis—an application to oil prices in the transport sector
Incorporating the value of changes in price volatility into cost-benefit analysis—an application to oil prices in the transport sector
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DOI：
10.1016/j.enpol.2009.10.009
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发表时间：
2010
期刊：
影响因子：
9
通讯作者：
T. Jensen;F. Møller
中科院分区：
文献类型：
--
作者：
T. Jensen;F. Møller
本文对如何在现实世界的成本收益分析中考虑价格波动的价值提出了尝试性建议。价格波动是供应安全的一个重要方面，供应安全首先涉及实物供应，但假设消费者厌恶风险，供应安全也可以被视为避免消费波动的问题，例如石油价格的波动。当政府代表消费者作出与交通有关的选择时，在政策评估中应考虑到替代燃料价格之间以及燃料价格与一般消费之间最显著的相关性，从而将对一般消费波动的影响纳入政策评估。在本文中，一种基于投资组合理论的价格波动率变化估值方法被应用于一些非常简单的与交通相关的例子。它们表明，包括价格波动变化的价值通常对成本效益分析的结果影响很小，但在得出确定的结论之前，必须在量化消费者的风险厌恶和总消费的背景标准差等方面做更多的工作。
This paper contains a tentative suggestion of how to take into account the value of changes in price volatility in real world cost-benefit analyses. Price volatility is an important aspect of security of supply which first of all concerns physical availability, but assuming that consumers are risk averse, security of supply can also be viewed as a matter of avoiding oscillations in consumption originating from volatile prices of for instance oil. When the government makes transport-related choices on behalf of the consumers, the effect on oscillations in general consumption should be included in the policy assessment taking into account the most significant correlations between prices of alternative fuels and between fuel prices and consumption in general. In the present paper, a method of valuing changes in price volatility based on portfolio theory is applied to some very simple transport-related examples. They indicate that including the value of changes in price volatility often makes very little difference to the results of cost-benefit analyses, but more work has to be done on quantifying, among other things, consumers’ risk aversion and the background standard deviation in total consumption before firm conclusions can be drawn.