Are We Fragmented Yet? Measuring Geopolitical Fragmentation and Its Causal Effect

After decades of rising global economic integration, the world economy is fragmenting. To measure this, we introduce a geopolitical fragmentation index based on a dynamic hierarchical factor model with time-varying parameters and stochastic volatility. We then use structural vector autoregressions历经数十年全球经济一体化程度持续提升的进程后，当前世界经济正呈现碎片化态势。为量化这一趋势，我们提出了一种基于带时变参数与随机波动率的动态分层因子模型（dynamic hierarchical factor model with time-varying parameters and stochastic volatility）的地缘政治碎片化指数。随后我们将采用结构向量自回归（structural vector autoregressions）