Geopolitical Risk Index

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We are pleased to host the Geopolitical Risk Index developed by Dario Caldara and Matteo Iacoviello at the Federal Reserve Board.

Dario Caldara and Matteo Iacoviello construct a new measure of adverse geopolitical events based on a tally of newspaper articles covering geopolitical tensions, and examine its evolution and economic effects since 1900. The geopolitical risk (GPR) index spikes around the two world wars, at the beginning of the Korean War, during the Cuban Missile Crisis, and after 9/11.

The Caldara and Iacoviello GPR index reflects automated text-search results of the electronic srchives of 10 newspapers: Chicago Tribune, the Daily Telegraph, Financial Times, The Globe and Mail, The Guardian, the Los Angeles Times, The New York Times, USA Today, The Wall Street Journal, and The Washington Post. Caldara and Iacoviello calculate the index by counting the number of articles related to adverse geopolitical events in each newspaper for each month (as a share of the total number of news articles).

The search is organized in eight categories: War Threats (Category 1), Peace Threats (Category 2), Military Buildups (Category 3), Nuclear Threats (Category 4), Terror Threats (Category 5), Beginning of War (Category 6), Escalation of War (Category 7), Terror Acts (Category 8). Based on the search groups above, Caldara and Iacoviello also constructs two subindexes. The Geopolitical Threats (GPRT) includes words belonging to categories 1 to 5 above. The Geopolitical Acts (GPRA) index includes words belonging to categories 6 to 8.

The Benchmark Index (GPR) uses 10 newspapers and starts in 1985. Caldara and Iacoviello use the same methodology to construct a Geopolitical Risk Historical Index (GPRH), which uses three newspapers and starts in 1900..

The dataset also includes country-specific GPR indexes constructed for advanced and emerging economies.

Please visit the Geopolitical Risk Index Webpage for additional details and data.

Cite their work as: Caldara, Dario, and Matteo Iacoviello (2021), "Measuring Geopolitical Risk," working paper, Board of Governors of the Federal Reserve Board, November 2021".