Bond spreads, GPR index, RV of agricultural and energy commodities and replication code

The file RV.RDS contains the data on realised volatility of three agricultural commodities: wheat (Euronext Paris Milling Wheat Commodity Future), maize (Euronext Paris Maize Commodity Future), rapeseed (Euronext Paris Rapeseed Commodity Future) and three energy commodities: oil (ICE Europe Brent Crude Electronic Energy Future), gas (Intercontinental Exchange UK NBP Natural Gas Electronic Monthly Energy Future), and coal (ICE Europe Rotterdam Coal Future Monthly Electronic Energy Future). The file spreads_all.RDS contains the data on bond spreads of the following European economies: Belgium, Bugaria, Czechia, Denmark, Finland, France, Germany, Hungary, Italy, Netherlands, Poland, Portugal, Romania, Spain, United Kingdom. The spreads are calculated based on 10Y bonds and the reference are Swiss 10Y bonds. The file gpr.RDS contains data on the Geopolitical Risk index (GPR, Caldara and Iacoviello (2022)). The data cover January 2007-January 2025. The replication_code_CDS_agri.R contains a script replicating the figures and tables of the article "Impact of the Russo-Ukrainian War on Commodity Price Volatility and Sovereign Risk in European Economies" (Kliber A., Just M., Echaust K)