Measuring Geopolitical Risk
Citations
792 citations
Cites background or methods from "Measuring Geopolitical Risk"
...For the geopolitical risk, we refer to the updated global GPR index suggested by Caldara and Iacoviello (2018).7 The GPR index is an index based on news related to geopolitical events....
[...]
...Some of the key words used for construction of GPR index are “geopolitical”, “uncertainty”, “war risk”, “Middle East tension” and similar words hinting toward some geopolitical tensions (For more details see Caldara & Iacoviello, 2018)....
[...]
...The US-GPR index is collected from Caldara and Iacoviello (2018) database....
[...]
...…oil price, US economic policy uncertainty as measured by EPU index of Baker et al. (2016), the US-geopolitical risk as gauged by geopolitical risk (GPR) index designed by Caldara and Iacoviello (2018) and the US COVID-19 counts as reported by the US Center for Disease Control and Prevention (CDC)....
[...]
...The number of words related to geopolitical risk are counted each day in each newspaper to calculate daily GPR index.8 Afterward, the entire index is normalized by equating the average value corresponding to the 2000–2009 decade to 100 (for details, see Caldara and Iacoviello, 2018)....
[...]
109 citations
Cites background or methods from "Measuring Geopolitical Risk"
...Now, given that GPRs affect the economic conditions of both developed and emerging markets (Caldara and Iacoviello, 2018), and oil prices are functions of the state of the economy, it is expected, intuitively, that oil market movements are likely to be affected by risks associated with geopolitical…...
[...]
...…geopolitical risks (or some proxy variables such as terrorism or conflicts) on oil variables has been hardly studied, with some exceptions, partly due to measurement difficulties (Blomberg et al,, 2009; Antonakakis et al., 2017a, b; Monge et al., 2016; Caldara and Iacoviello, 2018; Fattouh, 2011)....
[...]
...GPRs are often cited by central bankers, financial press and business investors as one of the determinants of investment decisions, and hence, are believed to affect business cycles and financial markets (Caldara and Iacoviello, 2018)....
[...]
...Monthly data on geopolitical risks (GPRs) are based on the work of Caldara and Iacoviello (2018). 4 Caldara and Iacoviello (2018) constructs the GPR index by counting the occurrence of words related to geopolitical tensions, derived from automated text-searches in 3 newspapers (The New York Times, the Chicago Tribune, and the Washington Post). 5 Then, Caladara and Iacoviello (2018) calculate the index by counting, in each of the abovementioned 3 newspapers, the number of articles that contain the search terms above for every month starting in 1985....
[...]
...4 Caldara and Iacoviello (2018) constructs the GPR index by counting the occurrence of words related to geopolitical tensions, derived from automated text-searches in 3 newspapers (The New York Times, the Chicago Tribune, and the Washington Post)....
[...]
103 citations
Cites background from "Measuring Geopolitical Risk"
...Besides, various studies have explored the relationship of the geopolitical risk (GPR) index proposed by Caldara and Iacoviello (2018) and oil volatility (e.g. Demirer et al. 2018; Plakandaras, Gupta, and Wong 2019; Smales 2019)....
[...]
92 citations
74 citations
Cites methods from "Measuring Geopolitical Risk"
...LG, which represents the variable of interest, geopolitical risks, is measured using the Caldara and Iacoviello (2018) geopolitical risk index....
[...]
...The measure of geopolitical risks used is the Geopolitical Risk Index of Caldara and Iacoviello (2018)....
[...]