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Sustainable Development Goals (SDGs) Research Impact
Climate Risk Data
Download the climate Physical Risk Index (PRI), the climate Transition Risk Index (TRI), and the ranked-weighted vocabularies.
Please note that by downloading and using the data, you are kindly agreeing to both
Cite the following reference "Bua, G., Kapp, D., Ramella, F., & Rognone, L. (2024). Transition versus physical climate risk pricing in European financial markets: a text-based approach. The European Journal of Finance, 1–35. https://doi.org/10.1080/1351847X.2024.2355103".
Include the main data source URL "https://sites.google.com/view/lavinia-rognone-library".
Data available for download also at the Economic Policy Uncertainty website "https://www.policyuncertainty.com/Climate_Risk_Indexes.html".
The Physical Risk Index (PRI) and Transition Risk Index (TRI) are regularly updated twice a year (end of December and end of June). For any query contact lrognone@ed.ac.uk.
Climate risk data IMPACT
Climate risk data IMPACT
The Physical Risk Index (PRI) and the Transition Risk Index (TRI) have been adopted as measures of climate risks by both academic and institutional peer-reviewed publications.
Academic
Academic
Liu, R., He, L., Chen, L., & Fu, Y. (2025). How climate risks relate to Chinese green finance markets in time-frequency domains? A consideration of extreme market conditions. Journal of Cleaner Production, 487, 144596.
Olasehinde-Williams, G. & Akadiri, S. (2024). Dynamics of Brown and Green Energy Stocks Under Climate-Related Risk: Statistical Evidence From the United States. Energy Research Letters.
Mokni, K., Ben Jabeur, S., Nammouri, H. and Saâdaoui, F. (2024). Clean Energy Markets: Responses to Emerging Risks and Investor Behaviour. International Journal of Finance & Economics.
Yao, Z., Chen, Y., Deng, S., Zhang, Y., & Wei, Y. (2025). Carbon emission allowance, global climate risk, and agricultural futures: An extreme spillover analysis in China. Finance Research Letters, 71, 106391.
Benmir, G., Bidder, R., Maso, S., Mori, A., & Roman, J. (2024). Unveiling the green equity premium: A macro-financial outlook.
Liu, Y., Xu, Z., Xing, X., & Zhu, Y. (2024). Can Chinese investors manage climate risk domestically and globally? International Review of Economics & Finance, 96, 103664.
Persakis, A., Tsakalos, I., Gkonis, V., & Nerantzidis, M. (2024). Climate policy uncertainty and environmental degradation: Does democracy moderate this relationship? Cleaner Environmental Systems, 15, 100230.
Ali, S., Badshah, I., Demirer, R., Hegde, P., & Rognone, L. (2024). Climate risk, ESG ratings, and the flow-performance relationship in mutual funds. Global Finance Journal, 101041.
Fava, S. del, Gupta, R., Pierdzioch, C., & Rognone, L. (2024). Forecasting international financial stress: The role of climate risks. Journal of International Financial Markets, Institutions and Money, 92, 101975.
Arfaoui, N., Naeem, M. A., Maherzi, T., & Kayani, U. N. (2024). Can green investment funds hedge climate risk? Finance Research Letters, 60, 104961.
Pata, U. K., Mohammed, K. S., Sarret, V., & Kartal, M. T. (2024). Assessing the influence of climate risk, carbon allowances, and technological factors on the ESG market in the European Union. Borsa Istanbul Review.
Zhou, Y., Wu, S., Liu, Z., & Rognone, L. (2023). The asymmetric effects of climate risk on higher-moment connectedness among carbon, energy and metals markets. Nature Communications, 14, 7157.
Blasberg, A., Kiesel. R., & Taschini, L. Carbon Default Swap – Disentangling the Exposure to Carbon Risk Through CDS. London School of Economics (LSE), Working paper.
Ardia, D., Bluteau, K., Boudt, K., & Inghelbrecht, K. (2022). Climate Change Concerns and the Performance of Green vs. Brown Stocks. Management Science 0(0).
Cepni, O., Demirer, R., & Rognone, L. (2022). Hedging climate risks with green assets. Economics Letters, 212, 110312.
Bouri, E., Dudda, T. L., Rognone, L., & Walther, T. (2023). Climate risk and the nexus of clean energy and technology stocks. Annals of Operations Research.
Gupta, R., Pierdzioch, C. (2023). Climate Risk and the Volatility of Agricultural Commodity Price Fluctuations: A Prediction Experiment. In: Bourghelle, D., Grandin, P., Jawadi, F., Rozin, P. (eds) Behavioral Finance and Asset Prices. Contributions to Finance and Accounting. Springer, Cham.
Karmakar, S., Gupta, R., Cepni, O., & Rognone, L. (2023). Climate risks and predictability of the trading volume of gold: Evidence from an INGARCH model. Resources Policy, 82, 103438.
Cepni, O., Demirer, R., Pham, L., & Rognone, L. (2023). Climate uncertainty and information transmissions across the conventional and ESG assets. Journal of International Financial Markets, Institutions & Money, 101730.
Goodell, J. W., Nammouri, H., Saâdaoui, F., & Ben Jabeur, S. (2023). Carbon allowances amid climate change concerns: Fresh insights from wavelet multiscale analysis. Finance Research Letters, 55, 103871.
Bouri, E., Rognone, L., Sokhanvar, A. & Wang, Z. (2023). From climate risk to the returns and volatility of energy assets and green bonds: A predictability analysis under various conditions. Technological Forecasting and Social Change. 194, p. 1-22 22 p., 122682.
Ali, S., Badshah, I., Demirer, R., Hegde, P. & Rognone, L. (2023). Climate uncertainty and investor learning in sustainable funds.
Institutional
Institutional
Bats, J. et al. (2023). Physical and transition risk premiums in euro area corporate bond markets. De Nederlandsche Bank Working Paper No. 761.
Allegra Pietsch & Dilyara Salakhova. (2022). Pricing of green bonds: drivers and dynamics of the greenium. European Central Bank (ECB), Working Paper Series No 2728 / September 2022.
OECD (2021). Financial Markets and Climate Transition: Opportunities, Challenges and Policy Implications. OECD Paris. Contribution to report.
The dots indicate the physical risk "concern" series, whereas the vertical bars denote the top Physical Risk Index (PRI) days.
[Download the PRI data for updated series]
The dots indicate the transition risk "concern" series, whereas the vertical bars denote the top Transition Risk Index (TRI) days.
[Download the TRI data for updated series]
Cumulative daily performances of the low-minus-high (LMH) quintiles (light-grey lines), deciles (grey lines) and 25 percentiles (black lines) physical risk climate beta portfolios considering EuroStoxx 600 Index historical constituents stocks over the period Jan 2005-Oct 2021.
[Download the PRI data for updated series]
Cumulative daily performances of the low-minus-high (LMH) quintiles (light-grey lines), deciles (grey lines) and 25 percentiles (black lines) transition risk climate beta portfolios considering EuroStoxx 600 Index historical constituents stocks over the period Jan 2005-Oct 2021.
[Download the TRI data for updated series]
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