Measuring Geopolitical Risk

作者：Dario Caldara, Matteo M. Iacoviello · 发表于：American Economic Review · 年份：2022 · DOI：10.1257/aer.20191823 · 被引用次数：3684 · 研究领域：Market Dynamics and Volatility、Risk Management in Financial Firms、Economic Sanctions and International Relations

We present a news-based measure of adverse geopolitical events and associated risks. The geopolitical risk (GPR) index spikes around the two world wars, at the beginning of the Korean War, during the Cuban Missile Crisis, and after 9/11. Higher geopolitical risk foreshadows lower investment and employment and is associated with higher disaster probability and larger downside risks. The adverse consequences of the GPR index are driven by both the threat and the realization of adverse geopolitical events. We complement our aggregate measures with industry- and firm-level indicators of geopolitical risk. Investment drops more in industries that are exposed to aggregate geopolitical risk. Higher firm-level geopolitical risk is associated with lower firm-level investment. (JEL C43, E32, F51, F52, G31, H56, N40)