KDI 한국개발연구원 - 경제정책정보 - 국내외연구자료 주제 - 자연환경 - 환경 -

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Pricing Poseidon: Extreme Weather Uncertainty and Firm Return Dynamics

EBRD 2019.08.06
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We investigate the uncertainty dynamics surrounding extreme weather events through the lens of option and stock markets by identifying market responses to both the uncertainty regarding potential hurricane landfall and subsequent economic impact. Stock options on firms with establishments exposed to the landfall region exhibit increases in implied volatility of 5-10 per- cent, reflecting impact uncertainty. Using hurricane forecasts, we show that landfall uncertainty and potential impact uncertainty are reflected in prices before landfall. We find no evidence that markets incorporate better hurricane forecasts than those from NOAA. Improvements to hurricane forecasts could have economically significant effects in financial markets.

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