Global risks, the macroeconomy, and asset prices

Abstract

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.

Governments’ economic support for households during the COVID-19 pandemic and consumer confidence

“…Description of variables, data sources, and descriptive statistics are provided in Table 1 . It is noteworthy that the OECD’s consumer confidence data have been widely used by researchers (e.g., Paradiso et al 2014 ; Konstantinou and Tagkalakis 2011 ; Costola et al 2022 ).…”

Geopolitical Risk Evolution and Obstacle Factors of Countries along the Belt and Road and Its Types Classification

“…In terms of assessment tools, geopolitical risk assessment has gradually shifted from qualitative to quantitative and visual analysis [ 26 , 27 , 28 ]. Indicators such as the global risks awareness index, risk attention, political system index, economic quality index and models such as the gravity model, systems analysis model and nonlinear autoregression model have been used for geopolitical risk assessment [ 29 , 30 ]. Geopolitical risk radar maps and global geopolitical risk maps are more and more widely used in geopolitical risk visualization [ 31 ].…”