Replication Package for "CRISK: Measuring the Climate Risk Exposure of the Financial System"
Description
# CRISK: Measuring the Climate Risk Exposure of the Financial System # by Hyeyoon JUNG, Robert ENGLE, and Richard BERNER --- ** CITATION ** Jung, Engle, and Berner "CRISK: Measuring the Climate Risk Exposure of the Financial System " Journal of Financial Economics (Forthcoming). --- This is a replication package for our paper. Note that confidential supervisory data, as well as data with copyright restrictions, have been replaced with pseudo files stored in the Input/Pseudo folder. While the code runs with these pseudo-datasets, replicating the results requires the full data. Refer to the Dataset_List.pdf and the Data Sources section of the paper for details. The code also includes detailed descriptions of the source of each input file.
Files
Steps to reproduce
1. Run Code/do_all.do to generate all tables and figures using non-confidential data. Be sure to update the file paths in this script. Use Stata 18.0 and Matlab R2023b. 2. The folders are organized by analysis. Within each analysis folder, the Data and Output folders contain intermediate files. All ultimate input files are saved in the Input folder, and all final output files are saved in the Results folder.