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Joint with Matteo Iacoviello. We construct a monthly index of Geopolitical Risk (GPR Index) counting the occurrence of words related to geopolitical tensions in leading international newspapers. The GPR index spikes around the Gulf War, after 9/11, during the 2003 Iraq invasion, during the 2014 Russia-Ukraine crisis, and after the Paris terrorist attacks. We also construct an Historical Index (GPRH) that starts in 1899. This is work in progress. We welcome kudos, comments and suggestions!
DATA Updated monthly around the 10th of the month.
Data release includes preliminary reading for current month based on searches until the 10th of the month.
Data also include (beta-version) country-specific GPR indices for 18 emerging economies (Caldara, Iacoviello and Aaron Markiewitz, "Country-Specific Geopolitical Risk")
Some citations of the index:
Some citations of the index:
(1) Die Welt (August 2016)
(2) Governor Mark Carney, Bank of England; (September 2016)
(3) Kristin Forbes, MPC Bank of England; (November 2016)
(4) ECB 2017 Economic Bulletin; (April 2017)
(5) ZeroHedge; (May 2017)
(6) National Minimum Wages Commission of Mexico (June 2017)
(7) Governor Mark Carney, Bank of England; (June 2017)
(8) Policy Uncertainty Website; (July 2017)
(9) Allianz Economic Insight (July 2017)
(10) Moody's Analytics Macro Press, Volume 22, Number 4 (July 2017)
(11) Business Insider "The world is now more unstable than during the Vietnam War" (July 7, 2017)
(12) BOA/Merrill Lynch Weekly Newsletter ("Geopolitical Risk Index has been on the rise", August 2017)
(13) State Street Global Advisors ("Goldilocks and Three Potential Bears" August 2017)
(14) Stratas Advisors ("Market Commentary" August 2017)
(15) Express Business Netherlands ("Geopolitical Risk Index (GPR) op hoogste niveau sinds Irak-invasie" August 2017)
(16) Schroders ("Gold and broader market commentary" September 2017)
(17) Fundspeople.com ("Riesgo político: esta vez los inversores institucionales sí creen que viene el lobo" September 2017)
(18) EFG International ("Stable Economies, Disruptive Trends" September 2017)
(19) IMF (WEO, Chapter 1, October 2017)
(20) Verus Investment ("Investment Landscape Call", October 2017)
(21) UBS Asset Management ("The Complacency Conundrum", October 2017)
(22) Central Bank of Iceland ("Report", November 2017)
(23) Fidelity International ("Investment Outlook", November 2017)
(24) ECB ("Financial Stability Review", November 2017)
(25) Monetary Authority of Singapore ("Financial Stability Review", November 2017)
(26) ING Bank ("2018 Outlook", December 2017)
(27) Caixa Bank ("Riesgos en 2018: (geo)política y comercio internacional", December 2017)
(28) National Bank of Ukraine ("Annual Report", December 2017)
(29) Rabobank ("Geopolitical Risk and the Dutch Economy", December 2017)
(30) Saxo Banque ("Monthly Macro Outlook", December 2017)
(31) Financial Times ("Markets Must Prepare for More Volatility", January 2018)
(32) The World Bank ("Global Economic Prospects", January 2018)
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