Does geopolitical risk matter for global asset returns? Evidence from quantile-on-quantile regression

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Is Gold a Hedge or a Safe Haven? An Analysis of Stocks, Bonds and Gold

Brian Lucey, Dirk G. Baur (2010)

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Oil prices, US stock return, and the dependence between their quantiles

Nicholas Sim, Hongtao Zhou (2015)

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We present a news-based measure of adverse geopolitical events and associated risks. 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. Higher geopolitical risk foreshadows lower investment and employment and is associated with higher disaster probability and larger downside risks. The adverse consequences of the GPR index are driven by both the threat and the realization of adverse geopolitical events. We complement our aggregate measures with industry- and firm-level indicators of geopolitical risk. Investment drops more in industries that are exposed to aggregate geopolitical risk. Higher firm-level geopolitical risk is associated with lower firm-level investment. (JEL C43, E32, F51, F52, G31, H56, N40)