我国气温指数衍生品定价的实验研究
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摘要
近年来全球变暖引发气候和天气变化十分频繁且无规律性,导致非灾害性天气带来的风险急剧加大。非灾害性天气风险,是指气温、湿度、降雨量、降雪量、日照等非灾难性天气事件导致企业未来收益和现金流的不确定性。非灾害性天气风险对我国各行各业都有着显著的经济影响,而新生的金融工具天气衍生品能够有效的管理非灾害性天气风险。天气衍生品为天气敏感行业提供了天气风险管理途径,还使投资者获得了利用天气变化赚取利润的机会,目前在国际市场上正以较快的速度发展,我国也应该积极推出天气衍生品。
本文概述了天气衍生品的产生与发展,阐述了其优势与局限并描述了我国目前所面临的非灾害性天气风险现状,分析其对我国国民经济中各行业的影响；接着对天气衍生品的基础指数和金融形式分别作了介绍,并结合具体实例表明了企业是如何使用天气衍生品进行套期保值操作的；接着介绍了天气衍生品的几种定价方法,通过对其进行比较,本文决定使用均衡定价法来定价我国的气温指数衍生品。本文用时间序列模型对南京市2001年1月1日—2010年12月31日间日平均气温数据回归分析得出南京市日平均气温的变化模型,进而基于扩展的Lucas (1978)均衡价格模型计算出气温指数衍生品合约的价格。最后本文对我国应用天气衍生品的前景和基础条件进行分析并对我国开发应用天气衍生品提出了相关的建议。
In recent years, global warming has caused climate and weather changes frequent and irregular, which causes non-disaster weather risks increase sharply. Non-disaster weather risks mean that the non-catastrophic weather events of temperature, humidity, rainfall, snowfall, sunshine and others lead to the uncertainty of company's future earnings and cash flow. Non-disaster weather risks have a significant impact on China's economy and industries, new financial instruments weather derivatives can effectively manage non-disaster weather risks.
This paper summarizes the current non-disaster weather risk situation China is facing and analyzes its impact on China's national economy. Then makes a presentation on the underlying index and financial style of weather derivatives. And elaborates several controversial pricing methods of weather derivatives. This paper uses the time-series model to analyze the daily average temperature data from January1,2001to December31,2010of Nanjing, which can obtain the daily temperature change model of Nanjing. Moreover the prices for temperature-based index derivatives are calculated on the base of the extending Lucas(1978) model of equilibrium pricing model. Finally, the paper provides relevant recommendations of applying the weather derivatives for China.
本文概述了天气衍生品的产生与发展,阐述了其优势与局限并描述了我国目前所面临的非灾害性天气风险现状,分析其对我国国民经济中各行业的影响；接着对天气衍生品的基础指数和金融形式分别作了介绍,并结合具体实例表明了企业是如何使用天气衍生品进行套期保值操作的；接着介绍了天气衍生品的几种定价方法,通过对其进行比较,本文决定使用均衡定价法来定价我国的气温指数衍生品。本文用时间序列模型对南京市2001年1月1日—2010年12月31日间日平均气温数据回归分析得出南京市日平均气温的变化模型,进而基于扩展的Lucas (1978)均衡价格模型计算出气温指数衍生品合约的价格。最后本文对我国应用天气衍生品的前景和基础条件进行分析并对我国开发应用天气衍生品提出了相关的建议。
In recent years, global warming has caused climate and weather changes frequent and irregular, which causes non-disaster weather risks increase sharply. Non-disaster weather risks mean that the non-catastrophic weather events of temperature, humidity, rainfall, snowfall, sunshine and others lead to the uncertainty of company's future earnings and cash flow. Non-disaster weather risks have a significant impact on China's economy and industries, new financial instruments weather derivatives can effectively manage non-disaster weather risks.
This paper summarizes the current non-disaster weather risk situation China is facing and analyzes its impact on China's national economy. Then makes a presentation on the underlying index and financial style of weather derivatives. And elaborates several controversial pricing methods of weather derivatives. This paper uses the time-series model to analyze the daily average temperature data from January1,2001to December31,2010of Nanjing, which can obtain the daily temperature change model of Nanjing. Moreover the prices for temperature-based index derivatives are calculated on the base of the extending Lucas(1978) model of equilibrium pricing model. Finally, the paper provides relevant recommendations of applying the weather derivatives for China.
引文
[1]齐绍洲,凌棱.美国天气衍生金融工具模型及其应用[J].证券市场导报,2003(11)：25-29
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[3]韩金山,谭忠富,刘严.略论发展我国的天气风险市场[J].国际电力,2004(6)：10-13
[4]刘元元.天气类衍生产品与金融衍生工具功能的再认识[J].国际金融研究,2005(8)：53-56
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[7]刘国光.天气预测与天气衍生产品定价研究[J].预测,2006,6：28-33
[8]祝燕德,胡爱军,何逸,熊一鹏.天气衍生产品与天气风险管理[J].气象软科学,2008,1：94-105
[9]段兵.气候变化与天气衍生产品创新[J].金融市场,2010,9：48-52
[10]尹晨,许晓茵.论天气衍生产品与农业风险管理[J].财经理论与实践,2007,145(1)：57-59
[11]肖宏.天气衍生品在农业风险管理中的应用[J].资源环境与发展,2008,3：7-11
[12]郭树华,禄晓龙.天气衍生产品的发展、应用及前景研究[J].经济师,2008,2：68-69
[13]陈信华.天气敏感性分析与气候衍生品开发[J].上海金融,2009,11：20-23
[14]雷晶晶.天气衍生品定价模型浅析[J].青年科学,2010,(1)：215-216
[15]徐怀礼.国外天气衍生品市场现状及对我国农业灾害风险管理的启示[J].现 代商贸工业,2007,5(5)：69-70
[16]黄小玉.我国农业天气风险管理的问题及对策[J].商业时代,2007,30：6-7
[17]刘朝辉,王慧敏,胡新辉.农业风险管理创新——天气衍生产品[J].安徽农业科学,2008,36：13875-13879
[18]刘云琳,干天.论天气衍生产品在农业保险中的应用[J].安徽农业科学,2006,34：4423-4425
[19]刘海龙.论天气衍生品在我国的开发与应用[D].西南财经大学硕士论文,2007
[20]钱利明.天气衍生品定价及在我国的开发[D].浙江大学硕士论文,2010
[21]马圆圆.天气衍生产品及其定价——基础指数设计方法和实验研究[D].华东师范大学,2008
[22]胡爱军,祝燕德,熊一鹏,何逸.论非灾害性天气风险管理[J].金融经济,2007：110-111
[23]胡爱军,祝燕德,何逸,熊一鹏.天气风险管理策略分析[J].经济地理,2006
[24]王勇.冰雪天灾催生我国天气金融衍生品市场[J].河南金融管理干部学院学报,2008,3：78-81
[25]蔡丽平.我国降雨指数期权的开发与设计[D].西南财经大学硕士论文,2007
[26]李智,梁伟.略论发展我国天气衍生产品市场[J].特区经济,2006,(10)：353-354
[27]封朝议.我国企业天气风险管理研究[D].哈尔滨工程大学硕士论文,2010
[28]张炳炜.天气衍生产品定价研究及实证分析[D].华东师范大学,2008
[29]邢学艳.天气风险与天气类衍生品[J].经济师,2007,(8)：55-56
[30]李鑫.我国农业保险的现状及天气衍生品在农业保险中的作用[J].金融经济,2008(4)：82-83
[31]王莹.浅谈气候衍生品在我国的开发及应用[J].上海金融,2006,(10)
[32]刘元元.天气类衍生工具在企业风险管理中的应用[J].金融经济,2005,8(10)：53-56
[33]李海东,高秀云.论自然风险的金融管理——天气衍生品[J].商情(教育经济研究),2008(6)：146
[34]高伟,李海军.我国期货市场的发展历程与展望[J].金融理论与实践,2009(3)
[35]郭劲朝,王哲.探析天气风险以及天气衍生品在我国的展望[J].时代金融,2011,433：11-12
[36]王子牧.浅谈我国发展天气衍生品的策略[J].山西财经大学学报,2011,4(11)：25-26
[37]Brockett,P.L., M.Wang, and C.Yang,2005, Weather Derivatives and Weather Risk Management, Risk management and Insurance Review,2005,Vol.8.
[38]Stephen Johnson, Introduction to Weather Derivative Pricing, the journal of Alternative Investments fall 2004
[39]Xiaohui Deng, Barnett, Barry J., Vedenov, Dmitry V, West, Joe W. Hedging dairy production losses using weather-based index insurance. Agricultural Economics, Mar2007, Vol.36 Issue 2
[40]Cooper, Valerie. Weather to Hedge. Energy User News, Apr2004, Vol.29 Issue 4
[41]Davis, M. Pricing Weather Derivatives by Marginal Value [J]. Quantitative Finance,2001.01
[42]Cao,M., and J.Wei. Pricing Weather Derivatives:An Equilibrium Approach[R].The Rotman Graduate School of Management, The University of Toronto,2003
[43]Anil k.sharma, Ashutosh Vashishtha. Weather derivatives:risk-hedging prospects for agriculture and power sectors in India. The Journal of Risk Finance, 2007,8:112-132
[44]Domier F,Querel M. Pricing weather derivatives by marginal value[J].Quantitative Finanee,2001.01
[45]Sean D.Campbell, Francis X. Diebold. Weather Forecasting for Weather Derivatives[R].University of Pennsylvania,2001
[46]Mark Garman, Carlos Blanco, Robert Erickson. Weather Derivatives: Instruments and Pricing Issues[J]. Financial Engineering Associates,2000
[47]Ederington,L.H., The hedging performance of the new futures markets, Journal of Finance,1979,34:157-170
[48]Haushalter,D.G, Financing Policy, Basis Risk and Corporate Hedging:Evidence from Oil and Gas Exporters, Journal of Finance,2000
[49]Wei X, Martin O, Oliver M. Indifference pricing of weather derivatives. Agricultural and Applied Economics Association.2008,90(4)
[50]Charles C Y, Brockett PI, Min-Ming W. Basis risk and hedging efficiency of weather derivatives. The Journal of Risk Finance,2009,10(5)
[2]陈靖.天气期货在中国的开发及应用[J].上海金融,2004,12：10-13
[3]韩金山,谭忠富,刘严.略论发展我国的天气风险市场[J].国际电力,2004(6)：10-13
[4]刘元元.天气类衍生产品与金融衍生工具功能的再认识[J].国际金融研究,2005(8)：53-56
[5]余沪荣,姚从容.天气衍生产品及在我国的应用前景展望[J].生态经济,2005(1)：74-76
[6]李黎,张羽.农业自然风险的金融管理：天气衍生品的兴起[J].证券市场导报.2006(3)：49-53
[7]刘国光.天气预测与天气衍生产品定价研究[J].预测,2006,6：28-33
[8]祝燕德,胡爱军,何逸,熊一鹏.天气衍生产品与天气风险管理[J].气象软科学,2008,1：94-105
[9]段兵.气候变化与天气衍生产品创新[J].金融市场,2010,9：48-52
[10]尹晨,许晓茵.论天气衍生产品与农业风险管理[J].财经理论与实践,2007,145(1)：57-59
[11]肖宏.天气衍生品在农业风险管理中的应用[J].资源环境与发展,2008,3：7-11
[12]郭树华,禄晓龙.天气衍生产品的发展、应用及前景研究[J].经济师,2008,2：68-69
[13]陈信华.天气敏感性分析与气候衍生品开发[J].上海金融,2009,11：20-23
[14]雷晶晶.天气衍生品定价模型浅析[J].青年科学,2010,(1)：215-216
[15]徐怀礼.国外天气衍生品市场现状及对我国农业灾害风险管理的启示[J].现 代商贸工业,2007,5(5)：69-70
[16]黄小玉.我国农业天气风险管理的问题及对策[J].商业时代,2007,30：6-7
[17]刘朝辉,王慧敏,胡新辉.农业风险管理创新——天气衍生产品[J].安徽农业科学,2008,36：13875-13879
[18]刘云琳,干天.论天气衍生产品在农业保险中的应用[J].安徽农业科学,2006,34：4423-4425
[19]刘海龙.论天气衍生品在我国的开发与应用[D].西南财经大学硕士论文,2007
[20]钱利明.天气衍生品定价及在我国的开发[D].浙江大学硕士论文,2010
[21]马圆圆.天气衍生产品及其定价——基础指数设计方法和实验研究[D].华东师范大学,2008
[22]胡爱军,祝燕德,熊一鹏,何逸.论非灾害性天气风险管理[J].金融经济,2007：110-111
[23]胡爱军,祝燕德,何逸,熊一鹏.天气风险管理策略分析[J].经济地理,2006
[24]王勇.冰雪天灾催生我国天气金融衍生品市场[J].河南金融管理干部学院学报,2008,3：78-81
[25]蔡丽平.我国降雨指数期权的开发与设计[D].西南财经大学硕士论文,2007
[26]李智,梁伟.略论发展我国天气衍生产品市场[J].特区经济,2006,(10)：353-354
[27]封朝议.我国企业天气风险管理研究[D].哈尔滨工程大学硕士论文,2010
[28]张炳炜.天气衍生产品定价研究及实证分析[D].华东师范大学,2008
[29]邢学艳.天气风险与天气类衍生品[J].经济师,2007,(8)：55-56
[30]李鑫.我国农业保险的现状及天气衍生品在农业保险中的作用[J].金融经济,2008(4)：82-83
[31]王莹.浅谈气候衍生品在我国的开发及应用[J].上海金融,2006,(10)
[32]刘元元.天气类衍生工具在企业风险管理中的应用[J].金融经济,2005,8(10)：53-56
[33]李海东,高秀云.论自然风险的金融管理——天气衍生品[J].商情(教育经济研究),2008(6)：146
[34]高伟,李海军.我国期货市场的发展历程与展望[J].金融理论与实践,2009(3)
[35]郭劲朝,王哲.探析天气风险以及天气衍生品在我国的展望[J].时代金融,2011,433：11-12
[36]王子牧.浅谈我国发展天气衍生品的策略[J].山西财经大学学报,2011,4(11)：25-26
[37]Brockett,P.L., M.Wang, and C.Yang,2005, Weather Derivatives and Weather Risk Management, Risk management and Insurance Review,2005,Vol.8.
[38]Stephen Johnson, Introduction to Weather Derivative Pricing, the journal of Alternative Investments fall 2004
[39]Xiaohui Deng, Barnett, Barry J., Vedenov, Dmitry V, West, Joe W. Hedging dairy production losses using weather-based index insurance. Agricultural Economics, Mar2007, Vol.36 Issue 2
[40]Cooper, Valerie. Weather to Hedge. Energy User News, Apr2004, Vol.29 Issue 4
[41]Davis, M. Pricing Weather Derivatives by Marginal Value [J]. Quantitative Finance,2001.01
[42]Cao,M., and J.Wei. Pricing Weather Derivatives:An Equilibrium Approach[R].The Rotman Graduate School of Management, The University of Toronto,2003
[43]Anil k.sharma, Ashutosh Vashishtha. Weather derivatives:risk-hedging prospects for agriculture and power sectors in India. The Journal of Risk Finance, 2007,8:112-132
[44]Domier F,Querel M. Pricing weather derivatives by marginal value[J].Quantitative Finanee,2001.01
[45]Sean D.Campbell, Francis X. Diebold. Weather Forecasting for Weather Derivatives[R].University of Pennsylvania,2001
[46]Mark Garman, Carlos Blanco, Robert Erickson. Weather Derivatives: Instruments and Pricing Issues[J]. Financial Engineering Associates,2000
[47]Ederington,L.H., The hedging performance of the new futures markets, Journal of Finance,1979,34:157-170
[48]Haushalter,D.G, Financing Policy, Basis Risk and Corporate Hedging:Evidence from Oil and Gas Exporters, Journal of Finance,2000
[49]Wei X, Martin O, Oliver M. Indifference pricing of weather derivatives. Agricultural and Applied Economics Association.2008,90(4)
[50]Charles C Y, Brockett PI, Min-Ming W. Basis risk and hedging efficiency of weather derivatives. The Journal of Risk Finance,2009,10(5)