This page contains the files to reproduce the results in "Measuring Geopolitical Risk" as well as any additional documentation referred in the paper.

This page is for quick access only. Complete replication codes available on the opeincpsr webpage.

For each section below, download the entire set of files in that section to run the necessary scripts

For questions or comments, please contact me at iacoviel@gmail.com or matteo.iacoviello@frb.gov

Cite as: Iacoviello, Matteo and Dario Caldara (2021), "Replication Material for Measuring Geopolitical Risk," available at https://www.matteoiacoviello.com/gpr_replication.htm

The paper is available here. Updated data can be found on the geopolitical risk webpage

1. Monthly Geopolitical Risk Data Used in the Paper (data_paper)
README.txt
data_gpr_export.dta (Stata format)
data_gpr_export.xls (Excel format)

2. Replication of Section I: Tables 1-2, Figures 1-8, App.table A3-A6, App.figures A1-A4,A10-A14 (figures_paper)
README.txt
run_figures_tables.do
data_gpr_monthly.dta
data_gpr_daily_recent.dta
data_gpr_quarterly.dta
data_gpr_annual.dta

3. Replication of Section III : VAR Evidence - Figures 9-10 (var_results)
README.txt
var_results.zip

4. Replication of Section IV : Country-Specific GPR and Disaster Probability and Quantile Regressions - Tables 3-4 (disaster_regressions)
README.txt
run_replication_country_gpr.do
gprh_annual.dta

5. Replication of Section V : Firm-Specific Geopolitical Risk - Table 5 and Figure 11 and A.11 (firm_regressions)
README.txt
run_replication_firm.do
firm_level_shuffled.dta (This file is a scrambled version of the original firm_level.dta and can be shared)
(See Section 6A below for instructions on how to build the firm_level.dta file)

6. Additional Material (Section V): Construction of Industry-Specific Exposure to Geopolitical Risk (industry_regressions)
README.txt
run_replication_industry.do
49_Industry_Portfolios_Daily_equal_weighted.CSV
gpr_daily_20210615.xlsx
F-F_Research_Data_Factors_daily.CSV

6A. Reference Material: Documentation on how to build the firm_level.dta file (firm_documentation)
README_BUILD.txt
compustat_wrds_shareable.zip (This zipped archive does not contain the quarterly Compustat data that must be retrieved using a WRDS account)

7. Additional Material (Section II): Tabulations of Daily Narrative GPR Data from The New York Times (data_paper)
README.txt
GPR_narrative_coding_guide.docx
NYT_count_daily_all.xlsx

8. Appendix: Construction of the Human GPR Index (human_index)
README.txt
GPR_human.zip
audit_guidelines_GPR_2021.pptx

9. Appendix: Audit of articles belonging to the GPR index described in Table A.3 (audit_coded)
README.txt
audit.zip

10. Appendix: Granger causality tests --- Table A.8 (granger_causality)
README.txt
run_granger_test.do
vardatagprgc.csv

11. Appendix: Replication of textual analysis in Tables A.1 and A.2 (text_analysis)
README.txt
GPR_text_analysis_replication.zip

12. Additional material: estimation of the country disaster events from 1900 through 2019 (disaster_estimation)
README.txt
disaster_estimation.zip

13. Additional material: Stata File with Firm-Level Geopolitical Risk Data (firm_level_gpr)
README.txt
firm_level_gpr_only.zip