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金融市场重视熟练预测季节性气候的价值
Derek Lemoine1,2, Sarah Kapnick3,4
1University of Arizona, 1130 E. Helen St, McClelland 401, Tucson, AZ, 85721, USA. dlemoine@email.arizona.edu.
Nature communications
|May 14, 2024
概括
金融市场重视季节性气候预测,交易者在前景的不确定性下定价. 改进的预测技能显著降低了企业的经济风险和对冲成本.
科学领域:
- 气候科学 气候科学
- 金融经济学 金融经济学
- 环境经济学环境经济学
背景情况:
- 政府机构在季节性气候预测方面投入大量资金,但没有明确的实际经济价值数据.
- 了解气候预测对经济的影响对于金融市场和业务适应至关重要.
研究的目的:
- 量化金融市场对季节性气候预报的估值.
- 评估预测技能改进对企业的经济影响.
- 确定企业能够在多大程度上适应气候相关的金融风险.
主要方法:
- 从国家海洋和大气管理局 (NOAA) 季节性前景分析期权市场数据到价格不确定性.
- 计量经济学建模以估计预测技能对企业对气候冲击的暴露的影响.
- 评估预测信息与金融市场对冲行为之间的关系.
主要成果:
- 期权交易者积极定价与NOAA冬季和厄尔尼诺现象前景相关的不确定性.
- 厄尔尼诺现象对总市值13万亿美元的公司产生影响.
- 厄尔尼诺现象前景技能增长1%将使企业的冲击风险减少180亿美元,并增加对冲支出200万美元.
结论:
- 季节性气候预报具有切实的经济价值,反映在金融市场的行为.
- 气候预测技能的提高通过减少不确定性和风险,为经济带来了显著的好处.
- 企业在试图适应预测的气候变化时面临巨大的成本,突出了准确预测的价值.
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