2010 Fiscal Year Final Research Report

Study of the necessity for the temperature risk hedge in area and firm

Research Project

Project/Area Number	20730215
Research Category	Grant-in-Aid for Young Scientists (B)
Allocation Type	Single-year Grants
Research Field	Public finance/Monetary economics
Research Institution	Iwate Prefectural University
Principal Investigator	TEE Kianheng Iwate Prefectural University, 総合政策学部, 准教授 (70325140)
Project Period (FY)	2008 – 2010
Keywords	天候デリバティブ / 気温リスクヘッジ / オプション理論 / Burning Cost法 / 確率分布法
Research Abstract	The corporate earnings are influenced of abnormal weather. In order to bring stable earnings, it is necessary to avoid the weather risk. Although the weather derivatives which considered most effective to avoid the risk are introduced into Japan in 1999 and the market is expanded gradually, it cannot be said that transaction volume is briskly. This study investigated the relationship between abnormal weather and the enterprise, and was understood that there are more enterprises influenced of abnormal weather in summer. Moreover, from analysis of the compensation and price of weather derivatives, it turned out that it is necessary to design the weather derivatives for each area in winter rather than summer.