本研究計畫主要分為兩大主題，一為探討氣候變遷之資訊內涵，二為在考量 氣候因子下，其對於農產品現貨與期貨之基差行為及共移性現象將產生影響，進 一步將之納入避險模型，詳細分析避險行為。天氣一向是影響農產品的主要因素 之一，不同於以往文獻採用因果關係或衝擊反應來分析關連性，本研究將藉由聖 嬰指數深入探討異常氣候對農產品現貨與期貨價格報酬及波動之衝擊，詳細分析 聖嬰及反聖嬰現象對其影響差異。再者，將氣候因子納入避險行為中，主要考量 範圍包含兩大方面：(1)農產品現貨與期貨之基差會受不同時間而有差異，其中 季節性與氣候異常時期的影響最大。(2)農產品現貨與期貨的價格會因特定變數 變化而產生共移現象，氣候異常明顯為其中一項因素，而共移現象也同時意味著 投資人可進行交叉避險。上述兩者皆同時納入避險行為中加以探討，本研究希望 能提供給市場避險交易者一個明確的方向與建議。 This study mainly focus on two purposes, one investigation is information content of climate change, and another point is hedge behavior with considering climate factors, that is related to basis behavior and comovement on agricultural spot and futures. Climate changes always play an important role in determining agricultural prices. Different with previous researches using Granger causality and impulse response function, this paper adopts dynamic model to examine the impact on price returns and volatility while facing the extreme climate changes. This study also examines whether the asymmetric effect appear within El Niño and La Niña periods. Furthermore, we investigate the hedge behavior considering the climate factors. Two ways which affected by weather factors are discussed in this study is: (1) The basis could be different within different periods, and seasonal effect and extreme climate change would be the major factors behind the different degree of basis. (2) Comovement on agriculture spot and futures are ever found to be related by specific economic fundamental factors. Climate change is one of the fundamental factors. The comovement on agriculture commodities represents that the cross hedging is practicable. Both elements are considering in hedge model for investigating the hedge behavior. This study would like support an clear way to market hedgers.
