Market expectations of a warming climate
Market expectations of a warming climate
复制标题
DOI：
10.1016/j.jfineco.2020.08.019
复制
发表时间：
2021-04
影响因子：
8.9
通讯作者：
W. Schlenker;Charles A Taylor
中科院分区：
文献类型：
--
作者：
W. Schlenker;Charles A Taylor
我们比较了基于未来天气结果的金融衍生品价格与CMIP5气候模型预测以及2001年至2020年美国八个城市观测到的气象站数据。衍生品价格对未来两周的短期天气预报和长期变暖趋势都有反应。我们表明，衍生品价格的长期趋势与站级数据和气候模型输出相当。唯一的例外是美国东北部的2月份，那里的金融市场价格反映了极地涡旋引起的冷却效应，这是最近的科学发现，在旧的CMIP5气候输出中不存在。当观察趋势的空间和时间异质性时，期货价格与气候模型输出的一致性比观测到的气象站趋势更高，这表明市场参与者将其预期与科学预测而不是最近的观测密切相关。
We compare prices of financial derivatives whose payouts are based on future weather outcomes to CMIP5 climate model predictions as well as observed weather station data across eight cities in the US from 2001 through 2020. Derivative prices respond both to short-term weather forecasts for the next two weeks and longer-term warming trends. We show that the long-term trends in derivative prices are comparable to station-level data and climate model output. The one exception is February in the northeastern US, where financial markets price in a polar vortex-induced cooling effect, a recent scientific finding that was not present in the older CMIP5 climate output. When looking at the spatial and temporal heterogeneity in trends, futures prices are more aligned with climate model output than observed weather station trends, suggesting that market participants closely align their expectations with scientific projections rather than recent observations.