Global risks, the macroeconomy, and asset prices
Bibliographic Data
| ID | 21541895 |
|---|---|
| Authors | Michele Costola (0000-0002-1109-2698, Ca' Foscari University of Venice), Michael Donadelli (0000-0002-5128-0554, University of Brescia), Luca Gerotto (0000-0001-8021-1331, Università Cattolica del Sacro Cuore, corresponding author), Ivan Gufler (0000-0003-2713-0537, Libera Università Internazionale degli Studi Sociali Guido Carli) |
| Year | 2022 |
| Volume | 63 |
| Issue | 5 |
| Pages | 2357-2388 |
| Publication date | 2022-11-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | Empirical Economics (JOURNAL) |
| Journal identifiers | ISSN: 0377-7332 • E-ISSN: 1435-8921 |
| Publisher | Springer Science and Business Media LLC (PUBLISHER) |
| DOI | 10.1007/s00181-022-02205-9 |
| PMID | 36320210 |
| OpenAlex | W4212950105 |
| Language | EN |
| Citations received | 3 |
| References cited | 47 |
We propose a novel index of global risks awareness (GRAI) based on the most concerning risks—classified in five categories (economic, environmental, geopolitical, societal, and technological)—reported by the World Economic Forum (WEF) according to the potential impact and likelihood occurrence. The degree of public concern toward these risks is captured by Google search volumes on topics having the same or similar wording of that one of the WEF Global Risk Report. The dynamics of our GRAI exhibits several spillover episodes and indicates that concerns on the five different categories of global risks are—on average—highly interconnected. We further examine the interconnection between global risks perceptions and the macroeconomy and find that concerns on economic-, geopolitical-, and societal-related risks are net shock transmitters, whereas the macroeconomic variables are largely net receivers. Finally, we perform standard cross-sectional asset pricing tests and provide evidence that rising interconnection among global risks awareness commands a positive and statistically significant risk premium
Business · Economic interdependence · Economics · Geopolitics · Globalization · Macroeconomics · Political science · Politics · Spillover effect · Computer Science · Financial Markets and Investment Strategies · Market Dynamics and Volatility · Risk Management in Financial Firms
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| Unique citing works | 3 |
|---|---|
| Citations per year | 1 |
| Citation span | 2023 - 2026 (4) |
| Citation velocity | current |
| Highly cited | No |
| Citation types | Neutral: 3 |