The geopolitical risk index (GPR) exhibits a significant correlation with energy transition at the 1% level, indicating a substantial relationship between energy transition and geopolitical risk. Additionally, green innovation (GI), environmental regulation (EPS), natural resource rents (NRR), and ...
Employing a two-state Markov regime switching model reveals that an upturn in the GPR index increases (reduces) the likelihood of being in the low (high) volatility regime. This finding could be attributed to the fact that when the geopolitical risk increases, users of crude oil, which is ...
The Geopolitical Risk (GPR) index shown in Fig. 1, highlights geopolitical events that affect oil prices and hence the BDI. For example, the terrorist attacks in 2001 pushed GPR to a high level and oil prices were reduced in the short run. Also, the slowdown in economic growth reduced ...
We used the Geopolitical Risk (GPR) Index to isolate geopolitical shocks where its standard deviation is greater than 2. For consecutive series of data points exceeding 2 standard deviations, we only take into account the first data point. This analysis is based on average weekly data. DXY ...
THE GEOPOLITICAL RISK INDEX: Dario Caldara and Matteo Iacoviello construct a monthly index of Geopolitical Risk (GPR Index) counting the occurrence of words related to geopolitical tensions in leading USA and international newspapers, since 1985. ...
Stat of the Week: Geopolitical Risk (GPR) IndexPublished by TheLeadLeft on August 10, 2022 Leave a response Related posts: LOAN STATS AT A GLANCE LOAN STATS AT A GLANCE LOAN STATS AT A GLANCE LOAN STATS AT A GLANCEPosted in Stat of the Week ...
Using the autoregressive distributed lag (ARDL) bounds testing approach, the empirical results confirm that geopolitical risk (GPR) has a significantly negative effect on FDI in Vietnam in the longterm. Specifically, in the longterm, 1 percent increase in the GPR index is associated with 5.7983 ...
1. GPR, GPT, GPA index by Caldara et.al (2018); 2. Portfolio return data: 25 portfolios created by Fama and French as measure of returns. These portfolios were created by sorting all securities in the CRSP universe into 5 portfolios according to their Size and 5 according to their Book...
We select the Geopolitical risk (GPR) index from (Caldara and Iacoviello, 2018, 2022). Extensive new literature analyzed the effect of the geopolitical risk index on economic variables such as GDP growth (Akadiri et al., 2020; Xue et al., 2022), trade flow (Gupta et al., 2019), ...
For example, using the GPR index, Caldara and Iacoviello (2017) show that higher geopolitical risk causes a drop in stock returns, suggesting the negative impacts of geopolitical risk on stock returns. However, using the same index, Balicilar et al. (2016a) present that geopolitical risk ...