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The answer strongly depends on the question that you want to answer. The CORDEX-data adds value to the CMIP-data as the regional climate models are run at higher horizontal resolution. This can be of particular importance for assessing changes in extremes. CMIP-data, on the other hand, represent a more comprehensive data set in the number of projections for the future. This means that CMIP-data may be better suited for assessing what is robust and what is more uncertain related to future climate change. Ideally, both data sets should be used simultaneously to address both questions.
References
Eyring V, Bony S, Meehl GA, Senior CA, Stevens B, Stouffer RJ and Taylor KE (2016) Overview of the Coupled Model Intercomparison Project Phase 6 (CMIP6) experimental design and organization Geosci. Model Dev. 9, 1937–58.
Taylor KE, Stouffer RJ and Meehl GA (2012) An overview of CMIP5 and the experiment design Bull. Am. Meteor. Soc. 93 485–98