政策不确定性与企业创新投资决策——基于实物期权模型

Policy Uncertainty and Enterprise Innovation Investment Decision—Based on Real Option Model

摘要: 政策不确定性是影响企业微观经济主体投资决策的一个关键因素，本文基于随机优化视角，借助实物期权模型研究政策不确定性对企业创新投资决策的影响，有助于企业完善对政策变化的应对策略制定和投资决策管理。本文假定创新产出产品价格服从几何布朗运动，创新成本服从混合的几何布朗运动/跳跃过程，从而实现将市场不确定性和政策不确定性引入创新投资模型，研究显示当政策预期有利时，政策不确定性增加将推迟企业进行创新；否则，当预期政策变得不利时，政策不确定性的增加将加速企业进行创新。

Abstract: Policy uncertainty is a key factor affecting the investment decision-making of enterprise microeco-nomic entities. Based on the perspective of stochastic optimization, this paper uses the real option model to study the impact of policy uncertainty on enterprise innovation investment decision-making, which will help enterprises improve their understanding of policy changes, coping strategy formulation and investment decision management. This paper assumes that the product price of the innovation output obeys the geometric Brownian motion, and the innovation cost obeys the mixed geometric Brownian motion/jump process, so as to realize the introduction of market uncertainty and policy uncertainty into the innovation investment model. The research shows that when the policy expectation is favorable, the policy Increased uncertainty will delay firms from innovating; otherwise, increased policy uncertainty will accelerate firms’ innovation when expected policies become unfavorable.