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Extreme Weather Forecasts Impact on U.S. Natural Gas Futures Prices
Maria Cristina Arcuri
Manou Monteux
Gino Gandolfi
Stefano Caselli
其他書名
Market Efficiency and Risk Premia Implications
出版
SSRN
, 2023
URL
http://books.google.com.hk/books?id=car2zwEACAAJ&hl=&source=gbs_api
註釋
We test the efficiency of the U.S. Natural Gas futures market against both observed and forecasted weather information from across the U.S., and show that the NG futures market incorporates complex meteorological information. We show that U.S. Natural Gas futures are affected by forecasted temperatures, but not by observed temperatures, except for one specific case.We then elaborate the expectation that the risk linked to the uncertainty intrinsic to weather forecasts will be rewarded by market forces. We identify a novel and material “extreme weather forecast” risk premium which outperforms the S&P500 on both an absolute and a risk adjusted basis. Our results, which have never previously been described in literature, are consistent throughout the thirty-year period from the U.S. Natural Gas market deregulation of 1990 up to 2019.
