研究生: |
楊智凱 Yang, Chih-Kai |
---|---|
論文名稱: |
以均衡模型評價天氣衍生性商品 Pricing Weather Contracts: An Equilibrium Approach |
指導教授: |
陳淑玲
Chen, Shu-Ling |
口試委員: | |
學位類別: |
碩士 Master |
系所名稱: |
科技管理學院 - 計量財務金融學系 Department of Quantitative Finance |
論文出版年: | 2010 |
畢業學年度: | 98 |
語文別: | 中文 |
論文頁數: | 69 |
中文關鍵詞: | 天氣衍生性商品 、動態隨機一般均衡模型 、天氣衝擊 |
外文關鍵詞: | Weather Derivatives, Dynamic Stochastic General Equilibrium (DSGE) Model, Weather Shock |
相關次數: | 點閱:2 下載:0 |
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如吾人所熟知,氣象局總是會提供未來的天氣預測給人們,提供人們做決策的依據,但預測可能有失準的時候,這未預期的天氣狀態往往造成重大的損害,故本文欲研究未預期的天氣衝擊對社會、經濟的影響。此外,自天氣衍生性商品開始發展起,有許多研究天氣衍生性商品的文獻,分別以不同的方法對天氣衍生性商品進行評價,以及對天氣衍生性商品標的進行預測。但是眾多討論天氣衍生性商品訂價以及天氣標的預測的文獻中,卻沒有文獻探討天氣衝擊對天氣衍生性商品市場的影響。故本文採用簡單的動態隨機一般均衡模型分析天氣衝擊對整體經濟及天氣衍生性商品市場的影響。分析結果發現,當天氣狀態變好時,將帶動產出、投資、及消費的成長,同時也增加了資本及勞動的使用,但減少了儲蓄量;而天氣期貨的需求增加,當期天氣期貨價格則小幅下跌,一期後反彈回升,但持續時間很短,很快地回復到穩定狀態水準。
As we know, the weather bureau provides the forecasting weather state to people, and people use it to make decision. But the forecasting might be wrong, there might be unexpected weatehr state. The unexpected weather
state usually make a lot of loss and hurt the economy and society. Therefore, we want to research how the unexpected weather shock affect the society and economy. In addition, there are many literatures about weather derivatives. They use different methods to price weather derivatives or to forecast and fit the weather measure behavior. But there is no literature to analyze how the weather shock affect the weather derivative market. Here we use a easy dynamic stochastic general equilibrium (DSGE) model to analyze
how the weather shock affect the whole economy and weather derivative market. The result shows, when the weather condition becomes better, the output, consumption, and investment will grow up, and the firm will use more capital and labors to produce product, but the saving of consumer
will decline. Moreover, the weather future demand will up, but its price will down when the weather condition becomes better. However, after one period, weather future price will be greater than steady-state level, but it decayes soon and back to the steady-state level.
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