Datasets and code for Systemic Financial Risks of Climate Shocks: Empirical Evidence from Major Free-Floating Currencies

This deposit provides the datasets and code used for the study titled 'Systemic Financial Risks of Climate Shocks: Empirical Evidence from Major Free-Floating Currencies.' The research investigates the dynamic impact of physical climate events on global financial stability, focusing specifically on anchor currencies.<br><br>The study offers empirical evidence of how localized climate shocks—proxied by temperature, precipitation, and disaster events—influence the volatility of major free-floating currencies: the US Dollar (USD), Euro (EUR), Pound Sterling (GBP), Japanese Yen (JPY), Swiss Franc (CHF), and Canadian Dollar (CAD). This dataset combines daily and monthly macroeconomic, climate, and financial data spanning 2012–2022. All analyses were conducted using Python. The provided code enables full replication of the CAAR analysis, the VAR-IRF modeling, and the macro-prudential stress tests.