Preprint
Weather Variance Risk Premia
Abstract
We analyze the information content of a variance risk premia extracted from the weather derivatives contracts written on the local temperature of individual U.S. cities. We term this the Weather Variance Risk Premia (WVRP). By constructing the WVRP measure from the CME’s weather futures and options contracts, we examine the role of weather variance risk on bond credit spreads of local corporations and municipalities. Our results indicate …
Authors
Bae JW; Jeon Y; Szaura S; Zurita V
DOI
10.2139/ssrn.4572123
Preprint server
SSRN Electronic Journal