Climate risks and realized volatility of major commodity currency exchange rates
| dc.contributor.author | Bonato, Matteo | |
| dc.contributor.author | Cepni, Oguzhan | |
| dc.contributor.author | Gupta, Rangan | |
| dc.contributor.author | Pierdzioch, Christian | |
| dc.contributor.email | rangan.gupta@up.ac.za | en_US |
| dc.date.accessioned | 2023-05-19T10:15:28Z | |
| dc.date.available | 2023-05-19T10:15:28Z | |
| dc.date.issued | 2023-01 | |
| dc.description.abstract | 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. | en_US |
| dc.description.department | Economics | en_US |
| dc.description.librarian | hj2023 | en_US |
| dc.description.uri | http://www.elsevier.com/locate/finmar | en_US |
| dc.identifier.citation | Bonato, M., Cepni, O., Gupta, R. et al. 2023, 'Climate risks and realized volatility of major commodity currency exchange rates', Journal of Financial Markets, vol. 62, art. 100760, pp. 1-19, doi : 10.1016/j.finmar.2022.100760. | en_US |
| dc.identifier.issn | 1386-4181 | |
| dc.identifier.other | 10.1016/j.finmar.2022.100760 | |
| dc.identifier.uri | http://hdl.handle.net/2263/90751 | |
| dc.language.iso | en | en_US |
| dc.publisher | Elsevier | en_US |
| dc.rights | © 2022 Elsevier B.V. All rights reserved. Notice : this is the author’s version of a work that was submitted for publication in Journal of Financial Markets. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms are not reflected in this document. A definitive version was subsequently published in Journal of Financial Markets, vol. 62, art. 100760, pp. 1-19, 2023. doi : 10.1016/j.finmar.2022.100760. | en_US |
| dc.subject | Climate risks | en_US |
| dc.subject | Commodity currency exchange rates | en_US |
| dc.subject | Realized variance | en_US |
| dc.subject | Forecasting | en_US |
| dc.title | Climate risks and realized volatility of major commodity currency exchange rates | en_US |
| dc.type | Preprint Article | en_US |