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2012-12-10Buch DOI: 10.18452/4440
Can the market forecast the weather better than meteorologists?
dc.contributor.authorRitter, Matthias
dc.date.accessioned2017-06-16T00:46:26Z
dc.date.available2017-06-16T00:46:26Z
dc.date.created2012-12-17
dc.date.issued2012-12-10
dc.date.submitted2012-12-10
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5092
dc.description.abstractMany companies depend on weather conditions, so they require reliable weather forecasts for production planning or risk hedging. In this article, we propose a new way of gaining weather forecasts by exploiting the forward-looking information included in the market prices of weather derivatives traded at the Chicago Mercantile Exchange (CME). For this purpose, the CME futures prices of two monthly temperature indices relevant for the energy sector are compared with index forecasts derived from meteorological temperature forecasts. It turns out that the market prices generally outperform the meteorological forecasts in predicting the outcome of the monthly index. Hence, companies whose profit strongly depends on these indices, such as energy companies, can profit from this additional information source about future weather.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectWeather derivativeseng
dc.subjectweather forecastseng
dc.subjectCMEeng
dc.subjectenergy sectoreng
dc.subject.ddc310 Sammlungen allgemeiner Statistiken
dc.subject.ddc330 Wirtschaft
dc.titleCan the market forecast the weather better than meteorologists?
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100206362
dc.identifier.doihttp://dx.doi.org/10.18452/4440
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages18
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2012
local.edoc.container-issue67
local.edoc.container-year2012
local.edoc.container-erstkatid2195055-6

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