The geopolitical risk index is a measure that evaluates the potential impact of political and economic risks on a country or region's stability and business environment. It typically assesses factors such as political stability, government effectiveness, regulatory quality, rule of law, corruption, sec...
The core explanatory variable is the geopolitical risk index (GPR). Drawing upon existing research (Jia et al., 2022; Smales, 2021; Su et al., 2019). We measure the geopolitical risk of each country using the geopolitical risk index calculated by Caldara and Iacoviello (2022). It is ...
This study discovers that the Markov-switching model captured the impacts of global and country-specific geopolitical risk uncertainty on stock returns of all fragile emerging economies, while the linear framework does not. Hence, the effects of both risk factors are nonlinear and asymmetric on stock...
geopolitical risk and uncertainty are playing an increasingly dominant role in investing. The investment world is marked by periodic risk-on and risk-off, which dictates the performance of investment styles (and factors); – factor payoff patterns are becoming perceptibly nonlinear. The traditional ...
This chapter: (i) explains why private-sector Credit Rating Agencies (CRAs) and their ratings opinions are unconstitutional (with emphasis on CRAs that rate corporate, municipal and government financial-instruments); (ii) explains why government bailouts/bail-ins are motivated by Constitutional Politica...
The study found a causality relationship from geopolitical risk index to the consumer and producer confidence index for the overall panel. Also, the results in terms of the individual country showed that causality from the geopolitical risk index to the consumer confidence index is valid for ...
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 ...
Portfolios could be subject to a lot of risk in the next year, and there are several ways to counter concerns by investors. Two examples of investment approaches include addressing the risk of currency volatility from geopolitical risk with a 50% currency hedged strategy, and addressin...
Geopolitical risk index Fractional integration FCVAR model Wavelet analysis JEL classification C00 C22 E30 N4 R41 1. Introduction Oil is one of the most relevant sources of energy for every country according to the IEA [1]. The economy of many countries is based on oil production and its tradi...
Geopolitical risk (GPR), as defined by Caldara and Iacoviello (2022), is “the risk associated with wars, terrorist acts, and tensions between states affecting the normal and peaceful course of international relations.” The topic was first brought into sharp focus by the The International Monet...