本文關(guān)鍵詞：我國適時推出天氣衍生品的可行性研究　出處：《河南大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 天氣衍生品 氣溫指數(shù) 合約設(shè)計 PEST模型 可行性

【摘要】：天氣變化與我們的經(jīng)濟和生活具有非常密切的聯(lián)系。我國自古便是農(nóng)業(yè)大國，習(xí)慣了“靠天吃飯”的模式，對天氣的變化十分敏感，除了農(nóng)業(yè)之外，能源、建筑、旅游等行業(yè)的經(jīng)營規(guī)模及收益也面臨著天氣變化的風(fēng)險。天氣風(fēng)險可分為災(zāi)害天氣風(fēng)險和一般天氣風(fēng)險。傳統(tǒng)的保險業(yè)針對高風(fēng)險低概率的災(zāi)害天氣風(fēng)險可以實現(xiàn)較好的控制和轉(zhuǎn)移，但對于一般天氣風(fēng)險卻無能為力。針對天氣風(fēng)險因素在經(jīng)濟生活中的影響日益凸顯，天氣衍生品作為一種專門規(guī)避一般天氣風(fēng)險最有效的新型風(fēng)險管理工具，既是金融衍生工具的一項創(chuàng)新，也是資本市場高度完善的產(chǎn)物，具有十分廣闊的發(fā)展前景。本文首先對天氣衍生品進行了概述，介紹天氣風(fēng)險及其應(yīng)對策略，天氣衍生品的產(chǎn)生和發(fā)展的基本情況，再通過與傳統(tǒng)金融衍生品的對比得出天氣衍生品的獨特之處，為后續(xù)研究打下基礎(chǔ)。 隨后是對天氣衍生品合約設(shè)計的可行性分析，采用分類研究法分別介紹天氣衍生品的四類基礎(chǔ)指數(shù)和三種主要類型。在其基礎(chǔ)指數(shù)中，氣溫指數(shù)是最主要也是應(yīng)用最普遍的一種，本文對此進行著重介紹，并對鄭州市62年的年平均氣溫數(shù)據(jù)的處理進行簡要分析。在其主要類型中，天氣期貨的應(yīng)用最廣泛，期權(quán)和互換的比重相對較低。接著簡單介紹了蒙特卡羅模擬方法、Cao和Wei（2000）定價模型以及均值回復(fù)模型三種理論方法。在此基礎(chǔ)上以期初步設(shè)計出我國推出天氣衍生品合約的模板，即氣溫指數(shù)期貨合約，從而為研究我國推出天氣衍生品的可行性提供參考依據(jù)。 本文重點對我國適時推出天氣衍生品的可行性研究進行闡述。分析天氣衍生品在我國推出的現(xiàn)實意義，以及分別從理論上和現(xiàn)實上研究我國推出天氣衍生品的可行性。從我國適時推出天氣衍生品的現(xiàn)實意義出發(fā)，得出天氣衍生品的推出不僅可以起到分散企業(yè)風(fēng)險、豐富我國投資品種、繁榮資本市場經(jīng)濟的作用，還有利于建立我國金融業(yè)邁向國際金融市場舞臺強有力的競爭優(yōu)勢。一方面，對于理論可行性的研究，引入PEST模型，將管理學(xué)的思維方法融入經(jīng)濟學(xué)中，分別從政治、經(jīng)濟、社會和技術(shù)四個角度分析。另一方面，對于現(xiàn)實可行性的研究，從我國推出天氣衍生品的路徑選擇出發(fā)，通過實際案例來闡述氣溫指數(shù)期貨合約在我國實體經(jīng)濟中的運用，進而分析現(xiàn)實上的可行性。 本文參考國內(nèi)外學(xué)者的相關(guān)理論，立足于我國的實際國情，研究了如何運用天氣衍生產(chǎn)品這一新的事物對于我國國民經(jīng)濟各行業(yè)進行天氣風(fēng)險管理和創(chuàng)造經(jīng)濟價值，并著重研究了天氣衍生品在我國適時推出的理論上和現(xiàn)實上的可行性。最終，得出本文的結(jié)論：天氣衍生品作為資本市場發(fā)展到高級階段的產(chǎn)物，對于我國國民經(jīng)濟各行業(yè)在天氣風(fēng)險管理上具有十分重要的現(xiàn)實意義，，我國的資本市場初具規(guī)模和成熟度，在宏觀經(jīng)濟理論分析上以及實體經(jīng)濟現(xiàn)實分析上已初步具備推出的可行性，但鑒于我國經(jīng)濟仍處于改革發(fā)展轉(zhuǎn)型中，因此我國在推出天氣衍生品市場的研究上必須遵循循序漸進，充分利用已擁有的后發(fā)優(yōu)勢，逐步完善和發(fā)展我國的金融衍生品市場，使我國天氣衍生品得以在更好的環(huán)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.

【學(xué)位授予單位】：河南大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2014
【分類號】：F832.5;F224

【參考文獻】

相關(guān)期刊論文 前7條

1 尹晨;許曉茵;;論天氣衍生產(chǎn)品與農(nóng)業(yè)風(fēng)險管理[J];財經(jīng)理論與實踐;2007年01期

2 郭樹華;祿曉龍;;天氣衍生產(chǎn)品的發(fā)展、應(yīng)用及前景研究[J];經(jīng)濟師;2008年02期

3 王瑩;;淺談氣候衍生品在我國的開發(fā)及應(yīng)用[J];上海金融;2006年08期

4 李永;夏敏;梁力銘;;基于O-U模型的天氣衍生品定價研究——以氣溫期權(quán)為例[J];預(yù)測;2012年02期

5 齊紹洲,凌棱;美國天氣衍生金融工具模型及其應(yīng)用[J];證券市場導(dǎo)報;2003年11期

6 李黎;張羽;;農(nóng)業(yè)自然風(fēng)險的金融管理:天氣衍生品的興起[J];證券市場導(dǎo)報;2006年03期

7 周丹丹;何平均;駱?biāo)?;我國天氣衍生品發(fā)展的PEST分析及戰(zhàn)略思考[J];現(xiàn)代商業(yè);2013年05期

本文編號：1366507