天气变化与我们的经济和生活具有非常密切的联系。我国自古便是农业大国，习惯 了“靠天吃饭”的模式，对天气的变化十分敏感，除了农业之外，能源、建筑、旅游等 行业的经营规模及收益也面临着天气变化的风险。天气风险可分为灾害天气风险和一般 天气风险。传统的保险业针对高风险低概率的灾害天气风险可以实现较好的控制和转 移，但对于一般天气风险却无能为力。针对天气风险因素在经济生活中的影响日益凸显， 天气衍生品作为一种专门规避一般天气风险最有效的新型风险管理工具，既是金融衍生 工具的一项创新，也是资本市场高度完善的产物，具有十分广阔的发展前景。本文首先 对天气衍生品进行了概述，介绍天气风险及其应对策略，天气衍生品的产生和发展的基 本情况，再通过与传统金融衍生品的对比得出天气衍生品的独特之处，为后续研究打下 基础。 随后是对天气衍生品合约设计的可行性分析，采用分类研究法分别介绍天气衍生品 的四类基础指数和三种主要类型。在其基础指数中，气温指数是最主要也是应用最普遍 的一种，本文对此进行着重介绍，并对郑州市 62 年的年平均气温数据的处理进行简要 分析。在其主要类型中，天气期货的应用最广泛，期权和互换的比重相对较低。接着简 单介绍了蒙特卡罗模拟方法、Cao 和 Wei（2000）定价模型以及均值回复模型三种理论 方法。在此基础上以期初步设计出我国推出天气衍生品合约的模板，即气温指数期货合 约，从而为研究我国推出天气衍生品的可行性提供参考依据。 本文重点对我国适时推出天气衍生品的可行性研究进行阐述。分析天气衍生品在我 国推出的现实意义，以及分别从理论上和现实上研究我国推出天气衍生品的可行性。从 我国适时推出天气衍生品的现实意义出发，得出天气衍生品的推出不仅可以起到分散企 业风险、丰富我国投资品种、繁荣资本市场经济的作用，还有利于建立我国金融业迈向 国际金融市场舞台强有力的竞争优势。一方面，对于理论可行性的研究，引入 PEST 模 型，将管理学的思维方法融入经济学中，分别从政治、经济、社会和技术四个角度分析。 另一方面，对于现实可行性的研究，从我国推出天气衍生品的路径选择出发，通过实际 案例来阐述气温指数期货合约在我国实体经济中的运用，进而分析现实上的可行性。 本文参考国内外学者的相关理论，立足于我国的实际国情，研究了如何运用天气衍II 生产品这一新的事物对于我国国民经济各行业进行天气风险管理和创造经济价值，并着 重研究了天气衍生品在我国适时推出的理论上和现实上的可行性。最终，得出本文的结 论，天气衍生品作为资本市场发展到高级阶段的产物，对于我国国民经济各行业在天气 风险管理上具有十分重要的现实意义，我国的资本市场初具规模和成熟度，在宏观经济 理论分析上以及实体经济现实分析上已初步具备推出的可行性，但鉴于我国经济仍处于 改革发展转型中，因此我国在推出天气衍生品市场的研究上必须遵循循序渐进，充分利 用已拥有的后发优势，逐步完善和发展我国的金融衍生品市场，使我国天气衍生品得以 在更好的环境下成功推出。 关键词，天气衍生品；气温指数；合约设计；PEST 模型；可行性III ABSTRACT The change of weather has very close connection with our economic and life.China is a large agriculture country that has a long history of depending its harvest on the state of weather. Besides weather risks impact the relevant scales and profits of many industries such as Energy, Construction and Tourism. Weather risk can be divided into Disaster weather risk and General weather risk. Traditional insurance can well mitigate and control the disaster weather risk which combines high risk and low probability, but there is no such insurance going well for general weather risk. The research object of this article is the general weather risk. For weather influences risk factors in economic life, as a kind of special avoid general weather risk the most effective new risk management tool, weather derivatives is not only an innovation of financial derivatives but also highly perfect capital market,which has very broad development prospects. The opening part of this paper introduces the basic definition of weather risk and weather derivatives and the present situation of our country weather derivatives, at the same time, comparing with traditional financial derivatives the uniqueness of weather derivatives are obtained, lay the foundation for follow-up study. After that, the study of weather derivatives pricing theory, using classification study respectively introduces the four types of weather derivatives index and the three main types. In its basic index, the temperature index is one of the most main is the most widely used, this article focuses on this, and in Zhengzhou in 62, the annual average temperature of data processing are briefly analyzed.The following part elaborate on the theory of weather derivatives pricing models which always use temperature index as basic subject matter. Traditional pricing method such as no arbitrage pricing method cannot be applied to generate the pricing of weather derivatives, so this paper selects three practical models namely Monte Carlo simulation method, Cao and Wei (2000) model and mean reversion of pricing model. The aim of this empirical analysis is to explore the weather derivatives pricing model accustomed to the weather condition of China. On the basis of the preliminary design in our country in order to launch template of weather derivatives contracts.IV The following part explains the application feasibility of introducing weather derivatives to capital market. a) the realistic significance of providing another channel of dispersing risk and enriching the investment products of financial derivatives market which will help China compete in the international financial markets b)employing the PEST model proposed by Management to analyze the feasibility of weather derivatives from the perspectives of political, economy, society and technology c)the initial part comes as proposing the path selection and detailed design of bringing weather derivatives to China. Owing to the general application of temperature index in measuring the industry weather risk, the author holds the same opinion as most scholars in China that we should learn from foreign successful experience in weather derivatives dealing and select the temperature index as underlying subject matter to formulate standardized future contracts, completing the original design of weather derivatives.Choose standard time in Dalian Commodity Exchange to launch in China will be a good idea. This paper mainly explore the feasibility of introducing weather derivatives to capital market and the possibility of using weather derivatives to conduct weather risk management and yield economic values for varied industries of national economy , on the basis of existing research findings and the reality in China. Begun to take shape and the maturity of capital market in China,we also have introduced the feasibility of macroeconomic.But in the view of our country's economy is still in the reform, development and transformation.So the conclusion is the capital market should be improved in financial environment and support policy to smooth the research and implementation procedure of weather derivatives.C onsidering its realistic significance in weather risk management, the weather derivatives ,as the product of the advanced stage of the capital market, should be introduced to our capital market step by step and gradually improve the financial derivatives market in our country.Then the weather derivatives in our country will be able to successfully in a better environment. Key words: weather derivatives；temperature index；pricing model；PEST model；feasibilityV 目 录 摘要...........................................................................................................................................I ABSTRACT ............................................................................................................................. III 第一章 绪论.............................................................................................................................. 1 一 研究背景与意义........................................................................................................... 1 （一）研究背景.......................................................................................................... 1 （二）研究意义.......................................................................................................... 1 二 国内外文献综述........................................................................................................... 2 （一）国外文献综述.................................................................................................. 2 （二）国内文献综述.................................................................................................. 3 三 研究方法与框架........................................................................................................... 4 （一）研究方法.......................................................................................................... 4 （二）研究框架.......................................................................................................... 4 四 创新与不足................................................................................................................... 5 （一）主要创新之处.................................................................................................. 5 （二）主要不足之处.................................................................................................. 5 第二章 天气衍生品概述........................................................................................................ 7 一 天气风险概述............................................................................................................... 7 二 天气风险的应对策略................................................................................................... 8 三 天气衍生品的产生和发展........................................................................................... 9 （一）天气衍生品的产生.......................................................................................... 9 （二）天气衍生品的发展.......................................................................................... 9 （三）我国天气衍生品市场现状.............................................................................. 9 四 天气衍生品与传统金融衍生品的比较..................................................................... 10 （一）天气衍生品与保险的比较............................................................................ 10 （二）天气衍生品与传统金融衍生品的比较........................................................ 11 第三章 天气衍生品合约设计的可行性分析........................................................................ 13 一 基于气温指数作为合约基础指数的可行性............................................................. 13 （一）选取气温指数为基础指数的可行性............................................................ 13 （二）天气衍生品合约的其他基础指数................................................................ 15 二 基于天气期货作为合约主要类型的可行性............................................................. 17 （一）选取天气期货合约的可行性........................................................................ 18 （二）天气衍生品合约的其他主要类型................................................................ 19 三 天气衍生品合约定价的可行性................................................................................. 21 （一）蒙特卡罗模拟方法........................................................................................ 21 （二）Cao 和 Wei 定价模型.................................................................................... 21 （三）均值回复模型................................................................................................ 21 四 天气衍生品合约的初步设计——基于气温指数期货合约..................................... 22 第四章 我国适时推出天气衍生品的可行性分析................................................................ 25 一 我国推出天气衍生品的现实意义............................................................................. 25VI （一）为企业提供一种分散风险的渠道................................................................ 25 （二）丰富投资品种，提供投资新渠道................................................................ 25 （三）实现金融创新，培养金融人才.................................................................... 25 （四）有助于我国在国际金融市场竞争中占据有利地位.................................... 26 二 我国推出天气衍生品的理论可行性——PEST 分析............................................... 26 （一）我国推出天气衍生品的政治可行性............................................................ 26 （二）我国推出天气衍生品的经济可行性............................................................ 27 （三）我国推出天气衍生品的社会可行性............................................................ 28 （四）我国推出天气衍生品的技术可行性............................................................ 29 三 我国推出天气衍生品的现实可行性......................................................................... 29 （一）路径选择........................................................................................................ 29 （二）案例分析——气温指数期货在我国实体经济中的运用............................ 30 第五章 结论与局限................................................................................................................ 33 一 研究结论..................................................................................................................... 33 二 研究局限..................................................................................................................... 33