Dataset on the Impact of Climate Shocks on US Dollar Volatility Against Major Currencies
Principal Investigator(s): View help for Principal Investigator(s) Ilias Chiboub, Mohammed V University of Rabat; Hicham Sadok, Mohammed V University of Rabat
Version: View help for Version V1
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Project Citation:
Chiboub, Ilias, and Sadok, Hicham. Dataset on the Impact of Climate Shocks on US Dollar Volatility Against Major Currencies. Ann Arbor, MI: Inter-university Consortium for Political and Social Research [distributor], 2025-04-09. https://doi.org/10.3886/E226141V1
Project Description
Summary:
View help for Summary
This dataset contains daily and monthly data from 2012 to 2022, capturing exchange rate fluctuations of five major currency pairs: EUR/USD, GBP/USD, USD/CAD, USD/JPY, and USD/CHF. It is designed to analyze the impact of climate-related events on exchange rate volatility.
In addition to exchange rate data, the dataset includes detailed records of climate disasters in the USA, Eurozone, U.K., Japan, Canada, and Switzerland. These records comprise total estimated economic damage per event and the corresponding Cumulative Abnormal Returns (CARs) calculated around disaster windows to measure financial market reactions.
To provide broader climate context, the dataset also features monthly climate indicators such as average temperature and precipitation changes for each country/region.
This comprehensive dataset enables empirical analyses of how climate shocks affect currency markets and can support research on the intersection of environmental risks and financial stability.
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