摘要
"一带一路"沿线分布着我国主要的能源基地及农产品生产基地,因此采用气温期货规避气温变化的风险有非常重要的实际意义。气温期货定价模型将温度及其残差标准差作为影响气温期货定价的主要因素,后者也是气温期货的重要风险。而根据我国28个省会城市63年的温度数据建立的实证研究模型发现,我国不同城市的温度模型差异较大,尤其是残差标准差具有不同的季节特征,而这种差异分布大致与"一带一路"布局一致,因此应推出"一带一路"沿线城市作为气温期货的合约城市,以满足投资者规避风险、获得投资收益多样化的需求。
Along the Belt and Road, there are our nation＇s primary energy resource bases and agricultural bases. Therefore, temperature options are important tools to fend off relevant risks. The temperature futures are especially necessary to avoid the risk of temperature change for energy and agriculture products along the Belt and Road. This paper argues that standard deviation of the residuals of the temperature is the key factor affecting pricing temperature futures as well as a major risk based on the module of pricing temperature future. The paper fits the data of average temperature of 28 provincial capitals from 1955 to 2017 into the temperature modules, and finds substantially difference in these temperature modules. It is especially noteworthy that the standard deviations of the residuals of different cities＇temperatures have different seasonal characteristics. The distributions of standard deviations of the cities are similar to distributions of the Belt and Road. So the paper suggests the temperature futures should be traded based on the temperatures of those cities to meet the need of the investors.
作者
张秀丽
ZHANG Xiu-li(Business School;Laboratory of Financial Engineering,Zhengzhou University,Zhengzhou 450001,China)
出处
《西南交通大学学报（社会科学版）》
CSSCI
2018年第6期113-120,共8页
Journal of Southwest Jiaotong University(Social Sciences)
基金
河南省软科学研究计划项目(172400410211)
关键词
“一带一路”
资本市场
天气衍生品
气温期货
金融工具
对冲风险
期货定价
气象灾害
the Belt and Road
capital market
weather derivatives
temperature futures
financialinstruments
hedge risk
futures pricing
meteorologic disasters
