我国适时推出天气衍生品的可行性研究

发布时间：2018-01-01 22:31

本文关键词：我国适时推出天气衍生品的可行性研究　出处：《河南大学》2014年硕士论文　论文类型：学位论文

【摘要】：天气变化与我们的经济和生活具有非常密切的联系。我国自古便是农业大国，习惯了“靠天吃饭”的模式，对天气的变化十分敏感，除了农业之外，能源、建筑、旅游等行业的经营规模及收益也面临着天气变化的风险。天气风险可分为灾害天气风险和一般天气风险。传统的保险业针对高风险低概率的灾害天气风险可以实现较好的控制和转移，但对于一般天气风险却无能为力。针对天气风险因素在经济生活中的影响日益凸显，天气衍生品作为一种专门规避一般天气风险最有效的新型风险管理工具，既是金融衍生工具的一项创新，也是资本市场高度完善的产物，具有十分广阔的发展前景。本文首先对天气衍生品进行了概述，介绍天气风险及其应对策略，天气衍生品的产生和发展的基本情况，再通过与传统金融衍生品的对比得出天气衍生品的独特之处，为后续研究打下基础。随后是对天气衍生品合约设计的可行性分析，采用分类研究法分别介绍天气衍生品的四类基础指数和三种主要类型。在其基础指数中，气温指数是最主要也是应用最普遍的一种，本文对此进行着重介绍，并对郑州市62年的年平均气温数据的处理进行简要分析。在其主要类型中，天气期货的应用最广泛，期权和互换的比重相对较低。接着简单介绍了蒙特卡罗模拟方法、Cao和Wei（2000）定价模型以及均值回复模型三种理论方法。在此基础上以期初步设计出我国推出天气衍生品合约的模板，即气温指数期货合约，从而为研究我国推出天气衍生品的可行性提供参考依据。本文重点对我国适时推出天气衍生品的可行性研究进行阐述。分析天气衍生品在我国推出的现实意义，以及分别从理论上和现实上研究我国推出天气衍生品的可行性。从我国适时推出天气衍生品的现实意义出发，得出天气衍生品的推出不仅可以起到分散企业风险、丰富我国投资品种、繁荣资本市场经济的作用，还有利于建立我国金融业迈向国际金融市场舞台强有力的竞争优势。一方面，对于理论可行性的研究，引入PEST模型，将管理学的思维方法融入经济学中，分别从政治、经济、社会和技术四个角度分析。另一方面，对于现实可行性的研究，从我国推出天气衍生品的路径选择出发，通过实际案例来阐述气温指数期货合约在我国实体经济中的运用，进而分析现实上的可行性。本文参考国内外学者的相关理论，立足于我国的实际国情，研究了如何运用天气衍生产品这一新的事物对于我国国民经济各行业进行天气风险管理和创造经济价值，并着重研究了天气衍生品在我国适时推出的理论上和现实上的可行性。最终，得出本文的结论：天气衍生品作为资本市场发展到高级阶段的产物，对于我国国民经济各行业在天气风险管理上具有十分重要的现实意义，，我国的资本市场初具规模和成熟度，在宏观经济理论分析上以及实体经济现实分析上已初步具备推出的可行性，但鉴于我国经济仍处于改革发展转型中，因此我国在推出天气衍生品市场的研究上必须遵循循序渐进，充分利用已拥有的后发优势，逐步完善和发展我国的金融衍生品市场，使我国天气衍生品得以在更好的环境下成功推出。
[Abstract]:The weather changes to our economy and life have very close ties. China since ancient times is a large agricultural country, accustomed to the "heaven" mode is very sensitive to the change of the weather, from agriculture, energy, construction, business scale and income of tourism industry is also facing the risk of changes in the weather weather risk. Into the disaster weather risk and general weather risk. To achieve better control and transfer the traditional disaster insurance industry for the high risk and low probability of weather risk, but incapable of action for general weather risk. According to the weather risk factors in economic life has become increasingly prominent, as a kind of special weather derivatives to avoid the general weather risk most effective the new risk management tools, a financial derivatives innovation is not only the capital market, is also a product of highly developed, has very broad prospects for development. This paper first summarizes the weather derivatives, introduces the weather risk and coping strategies, the basic situation of the generation and development of the weather derivatives, and then draws the unique characteristics of the weather derivatives through comparison with the traditional financial derivatives, so as to lay the foundation for further research.
Then is the analysis on the feasibility of the design of weather derivatives contracts, four basic indices were introduced by using the classification method of weather derivatives and three main types. Based on the index, the temperature index is one of the most main is the most widely used, this paper emphatically introduced, and in the city of Zhengzhou for 62 years the average temperature data processing is analyzed briefly. In the main types, the most widely used weather futures, options and swaps the proportion is relatively low. Then a brief introduction of the Monte Carlo simulation method, Cao and Wei (2000) model three theoretical pricing model and mean reversion method. On the basis of the preliminary design stage weather derivatives contracts template to China's market, namely the temperature index futures contract, so as to study the feasibility of introduction of weather derivatives to provide reference for our country.
This paper focuses on China's timely launch of the feasibility study of weather derivatives are elaborated. Practical significance analysis of weather derivatives launched in China, and from the theoretical and practical research in China launched the feasibility of weather derivatives. Starting from the practical significance of China's timely introduction of weather derivatives, the launch of weather derivatives can not only play distributed enterprise risk, enriching investment products of our country, the prosperity of the capital market economy, there is conducive to the establishment of China's financial industry to the international financial market stage a strong competitive advantage. On the one hand, the research for the theory of the feasibility of introducing the PEST model, the thinking method of management into economics, respectively from the political, economy, analysis four angles of society and technology. On the other hand, the research for feasibility, selection of the launch path of weather derivatives in China, through the The practical case is used to explain the application of the temperature index futures contract in China's real economy, and then to analyze the practical feasibility.
This reference to relevant theories of scholars at home and abroad, based on the actual conditions of our country, study how to use weather derivatives as a new thing for the industry of China's national economy weather risk management and create economic value, and focuses on the feasibility of weather derivatives in China timely introduction of the theory and reality. Finally, the conclusions drawn in this paper: weather derivatives as the capital market product at the advanced stage of development, is of great practical significance for the industry of China's national economy is in the weather risk management, China's capital market size and maturity, has been launched in the feasibility analysis of macroeconomic theory and entity the economic analysis on the reality, but in view of China's economic reform and development is still in transition, therefore our country launched in the study of weather derivatives market must follow Step by step, make full use of the latecomer advantages that we have, and gradually improve and develop our financial derivatives market, so that our weather derivatives can be successfully launched in a better environment.

【学位授予单位】：河南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.5;F224

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