Climate Data
Description
The dataset used in this study consists of a balanced panel of monthly observations covering the period from January 2015 to December 2024 for the United States and BRICS economies, namely Brazil, Russia, India, China, and South Africa. The panel includes key financial stability indicators such as realized volatility (RV), Value-at-Risk (VaR5), and the Total Connectedness Index (TCI_F), together with climate risk variables, geopolitical uncertainty measures, and transformer-based sentiment indices derived from social media and local financial news narratives. Additional control variables, including oil price shocks (OIL), the Volatility Index (VIX), and the Global Temperature Index (GTI), were incorporated to account for global market conditions and climate-related effects. The dataset was compiled and standardized using information obtained from Bloomberg, Refinitiv, EM-DAT, geopolitical risk databases, and transformer-based NLP sentiment extraction models such as FinBERT, WeiboBERT, and XLM-R. Preprocessing procedures included normalization, multilingual standardization, tokenization, stop-word filtering, and data cleaning to ensure consistency and comparability across countries and variables.