Global risks, the macroeconomy, and asset prices.

Autor: Costola M; Department of Economics, Ca' Foscari University of Venice, Venice, Italy., Donadelli M; Department of Economics and Management, University of Brescia, Brescia, Italy., Gerotto L; Department of Economics, Ca' Foscari University of Venice, Venice, Italy.; Department of Economics and Finance, Università Cattolica del Sacro Cuore, Largo Francesco Vito 1, 00168 Rome, Italy., Gufler I; Department of Economics and Finance, LUISS Guido Carli, Rome, Italy.
Jazyk: angličtina
Zdroj: Empirical economics [Empir Econ] 2022; Vol. 63 (5), pp. 2357-2388. Date of Electronic Publication: 2022 Feb 14.
DOI: 10.1007/s00181-022-02205-9
Abstrakt: 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.
Competing Interests: Conflict of interestThe authors declare that they have no conflict of interest.
(© The Author(s) 2022.)
Databáze: MEDLINE
Externí odkaz:
Nepřihlášeným uživatelům se plný text nezobrazuje