Climate risks and realized volatility of major commodity currency exchange rates

被引：60

作者：

Bonato, Matteo ^{[1
,2
]}

Cepni, Oguzhan ^{[3
]}

Gupta, Rangan ^{[4
]}

Pierdzioch, Christian ^{[5
]}

机构：

[1] Univ Johannesburg, Dept Econ & Econometr, Auckland Pk, South Africa

[2] IPAG Business Sch, 184 Blvd St Germain, F-75006 Paris, France

[3] Copenhagen Business Sch, Dept Econ, Porcelaenshaven 16A, DK-2000 Frederiksberg, Denmark

[4] Univ Pretoria, Dept Econ, ZA-0002 Pretoria, South Africa

[5] Helmut Schmidt Univ, Dept Econ, Holstenhofweg 85,POB 700822, D-22008 Hamburg, Germany

来源：

JOURNAL OF FINANCIAL MARKETS | 2023年 / 62卷

关键词：

Climate risks; Commodity currency exchange rates; Realized variance; Forecasting; RATE RETURNS; MODELS; UNCERTAINTY; ATTENTION; FORECASTS; GROWTH;

D O I：

10.1016/j.finmar.2022.100760

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

We find that climate-related risks forecast the intraday data-based realized volatility of exchange rate returns of eight major fossil fuel exporters (Australia, Brazil, Canada, Malaysia, Mexico, Norway, Russia, and South Africa). We study several metrics capturing risks associated with climate change, derived from data directly on variables such as, for example, abnormal patterns of temperature. We control for various other moments (realized skewness, realized kurtosis, realized upside and downside variance, realized upside and downside tail risk, and realized jumps) and estimate our forecasting models using random forests, a machine learning technique tailored to analyze models with many predictors.

引用

页数：19

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