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This page shares data used in my research papers:
Geopolitical Risk Index (GRI) and Trade War Index (TWI) from Sheng, Sun, and Wang (2025, working paper)
Macroeconomic Attention Indices (MAI) from Fisher, Martineau, and Sheng (2022 RFS)
1. Geopolitical Risk Index (GRI) and Trade War Index (TWI)
1. Geopolitical Risk Index (GRI) and Trade War Index (TWI)
Sheng, Sun, and Wang (2025) construct Geopolitical Risk Index (GRI) and Trade War Index (TWI) based on news articles from Wall Street Journal, from January 1984 to April 2025.
Please see the paper on the details about how to construct these indices. Link to the paper: "Geopolitical Risks and Stock Returns"
Here are the figures of these two indices, along with major events. The data will be shared with the public in the future.
2. Macroeconomic Attention Indices (MAI)
2. Macroeconomic Attention Indices (MAI)
Fisher, Martineau, and Sheng (2022) construct MAI that are based on news articles from New York Times and Wall Street Journal.
Download the data: Excel data file (Daily and Monthly MAI 1980-2020); or check Github webpage for more explanations and data.
If you use the data, please cite Fisher, A., C. Martineau, and J. Sheng (2022) "Macroeconomic Attention and Announcement Risk Premia" Review of Financial Studies, 35, 5057–5093.
To illustrate the properties of MAI, the figure below compares monthly MAI to related macro fundamentals.
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