Climate Risks and Realized Volatility of Major Commodity Currency Exchange Rates

Matteo Bonato, Oguzhan Cepni, Rangan Gupta, Christian Pierdzioch*

*Corresponding author for this work

Research output: Contribution to journalJournal articleResearchpeer-review


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.
Original languageEnglish
Article number100760
JournalJournal of Financial Markets
Number of pages19
Publication statusPublished - Jan 2023

Bibliographical note

Epub ahead of print. Published online 24 June 2022.


  • Climate risks
  • Commodity currency exchange rates
  • Realized variance
  • Forecasting

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