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
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.
The Benchmark Index (GPR) uses 11 newspapers and starts in 1985.
The Historical Index (GPRH) uses 3 newspapers and starts in 1899.
A summary presentation in our slides
can be found here (November 2019).
We welcome kudos, comments, and suggestions!
Cite as: Caldara, Dario and Matteo Iacoviello,
“Measuring Geopolitical Risk,''
working paper, Board of Governors of the Federal Reserve Board, December 2019
The Caldara and Iacoviello GPR index reflects
automated text-search results of the electronic archives of 11 national
and international newspapers: The Boston Globe, Chicago Tribune, The
Daily Telegraph, Financial Times, The Globe and Mail, The Guardian, Los
Angeles Times, The New York Times, The Times, The Wall Street Journal,
and The Washington Post. Caldara and Iacoviello calculate the index by
counting the number of articles related to geopolitical risk in each
newspaper for each month (as a share of the total number of news
articles). The index is then normalized to average a value of 100 in
the 2000-2009 decade. The search identifies articles containing
references to six groups of words: Group 1 includes words associated
with explicit mentions of geopolitical risk, as well as mentions of
military-related tensions involving large regions of the world and a
U.S. involvement. Group 2 includes words directly related to nuclear
tensions. Groups 3 and 4 include mentions related to war threats and
terrorist threats, respectively. Finally, Groups 5 and 6 aim at
capturing press coverage of actual adverse geopolitical events (as
opposed to just risks) which can be reasonably expected to lead to
increases in geopolitical uncertainty, such as terrorist acts or the
beginning of a war. Based on the search groups above,
Caldara and Iacoviello further disentangle the direct effect of adverse
geopolitical events from the effect of pure geopolitical risks by
constructing two indexes. The Geopolitical Threats (GPT) index only
includes words belonging to Search groups 1 to 4 above. The
Geopolitical Acts (GPA) index only includes words belonging to Search
groups 5 and 6.
Download our monthly data
here [last update: March 11, 2020]. The data are updated through the end of February 2020 and include
preliminary March 2020 data using searches until March 11th.
The data are updated for each month around the 10th of the following month.
These data can be used freely with attribution to the authors, the paper, and the website.
Source: “Measuring Geopolitical Risk” by Dario Caldara and Matteo Iacoviello at https://matteoiacoviello.com/gpr.htm.
The data also include (beta-version) country-specific GPR indices for 19 emerging economies
(Caldara, Iacoviello and Aaron Markiewitz, "Country-Specific Geopolitical Risk").
Daily data for the GPR index are available here (last updated: March 11, 2020).