Investment-at-Risk of Geopolitical Tensions

Fabio Anobile (), Francesco Frangiamore (), Marco Maria Matarrese () and Jamel Saadaoui
Additional contact information
Fabio Anobile: LUM University
Francesco Frangiamore: University of Palermo
Marco Maria Matarrese: University of Palermo

No 2025.19, Working Papers from International Network for Economic Research - INFER

Abstract: This paper shows that geopolitical risk is an important predictor of tail risks in the investment growth distribution. Using the growth-at-risk framework, we document that higher geopolitical risk predicts lower left tails, while having no impact on the other parts of the distribution. We document higher uncertainty during periods of heightened geopolitical risks, when also the distribution becomes more left-skewed, leading extremely negative outcomes to become more likely. Additional structural analysis based on local projections shows that GPR shocks have larger dynamic effects on the left tail of the distribution, affecting particularly and significantly downside risk.

Keywords: Geopolitical risk; investment; quantile regressions; local projections (search for similar items in EconPapers)
JEL-codes: E M (search for similar items in EconPapers)
Pages: 20 pages
Date: 2025
References: Add references at CitEc
Citations:

Downloads: (external link)
https://infer-research.eu/wp-content/uploads/2025/12/WP2025.19.pdf First version, 2025 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inf:wpaper:2025.19

Access Statistics for this paper

More papers in Working Papers from International Network for Economic Research - INFER Contact information at EDIRC.
Bibliographic data for series maintained by Pedro Cerqueira ( this e-mail address is bad, please contact ).