Replication package: reduced-form climate-financial early-warning indicator
Description
Replication code for the reduced-form climate-financial early-warning indicator and its backtest, as reported in the associated paper. The package contains a script that downloads the four public source series (monthly Brent crude, European natural gas and Australian coal prices from the IMF Primary Commodity Price System via FRED, and the deseasonalised Mauna Loa atmospheric CO2 record from the NOAA Global Monitoring Laboratory), a script that builds the fourteen monthly features, runs the walk-forward Isolation Forest and return-surprise components, and reports all backtest statistics, and a README documenting the method and the expanding-window initialisation choice. No data files are redistributed, as all four source series are openly published by their originating institutions and are retrieved at run time.