IDEAS home Printed from https://ideas.repec.org/a/oup/rfinst/v32y2019i6p2456-2497..html
   My bibliography  Save this article

Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market

Author

Listed:
  • Daniel Weagley

Abstract

I examine the effect of financial sector stress on risk sharing in a novel setting: the CME’s weather derivatives market. The structure of the market allows me to disentangle price movements due to financial sector stress from price movements due to fundamentals. Contracts, which are typically priced near their actuarially fair value, experience significant price declines during periods of financial sector stress. Contracts with greater margin requirements and total risk are the most affected. The results provide causal evidence of the effect of financial sector stress on the pricing of exchange-traded financial contracts and risk sharing in the economy. Received July 21, 2017; editorial decision July 22, 2018 by Editor Philip Strahan. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.

Suggested Citation

  • Daniel Weagley, 2019. "Financial Sector Stress and Risk Sharing: Evidence from the Weather Derivatives Market," The Review of Financial Studies, Society for Financial Studies, vol. 32(6), pages 2456-2497.
    • Handle: RePEc:oup:rfinst:v:32:y:2019:i:6:p:2456-2497.
    as

    Download full text from publisher

    File URL: http://hdl.handle.net/10.1093/rfs/hhy098
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Russo, Marianna & Bertsch, Valentin, 2020. "A looming revolution: Implications of self-generation for the risk exposure of retailers," Energy Economics, Elsevier, vol. 92(C).
    2. Renatas Kizys & Wael Rouatbi & Zaghum Umar & Adam Zaremba, 2024. "Air temperature and sovereign bond returns," Financial Markets, Institutions & Instruments, John Wiley & Sons, vol. 33(2), pages 179-209, May.
    3. Ding, Qian & Huang, Jianbai & Chen, Jinyu & Luo, Xianfeng, 2024. "Climate warming, renewable energy consumption and rare earth market: Evidence from the United States," Energy, Elsevier, vol. 290(C).
    4. Panagiotis Tzouvanas & Renatas Kizys & Ioannis Chatziantoniou & Roza Sagitova, 2019. "Can Variations in Temperature Explain the Systemic Risk of European Firms?," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 74(4), pages 1723-1759, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:oup:rfinst:v:32:y:2019:i:6:p:2456-2497.. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Oxford University Press (email available below). General contact details of provider: https://edirc.repec.org/data/sfsssea.html .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.