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Cold spots are said to be created just before a paranormal event takes place.

In theory, paranormal events need energy to manifest themselves. This is done by pulling out heat from the surrounding areas.

The drop in temperature is measurable by thermometer. People, who have experienced the events, say they have been able to see their own breath.
However, the feeling of fear can also lead to the feeling of cold air. The feeling itself can let the hairs stand on end. There can also be countless other environmental circumstances. For instance draft.