Data and Code for: Measuring Geopolitical Risk

Name: Data and Code for: Measuring Geopolitical Risk
Creator: ICPSR - Interuniversity Consortium for Political and Social Research
Published: 2022-03-24T19:12:09+08:00

DataCite Commons2025-04-04 更新2025-04-16 收录

地缘政治风险

风险评估

数据链接：

https://www.openicpsr.org/openicpsr/project/154781/view 数据链接链接失效反馈

官方服务：

资源简介：

Overview This archive contains the files to reproduce the results in "Measuring Geopolitical Risk" as well as any additional documentation referred in the paper. Each directory is self-contained. For each directory, download all the files in order to run the necessary scripts. Instructions are given in the README files. Updated data can be found on the geopolitical risk index webpage, which can be found at the following url: https://www.matteoiacoviello.com/gpr.htm For questions or comments, please contact iacoviel@gmail.com Data Availability Statement All the data used in this paper are provided in this repository, with the exception of the Compustat quarterly firm-level data, which can be downloaded from https://wrds-www.wharton.upenn.edu/pages/ with a registered account. Software used The codes here run and have been tested either on Stata/MP 16.0 (for *.do files), on Matlab R2019/A (for *.m files), on R Version 4.04 (for *.R files), and on Anaconda 3 (for *.py, *.ipynb files). Most codes run in seconds/minutes on a personal laptop with 16GB ram, with the exception of the R code to estimate disaster episodes, which takes about 2 days using the standard settings from the Nakamura et al (2013) paper (nIter = 50,000, nRuns = 40). Directory list and list of main input files - if any - in each directory 1. Monthly Geopolitical Risk Data Used in the Paper (data_paper)See README.txt file in the directory for details data_gpr_export.dta (Stata format) data_gpr_export.xls (Excel format) 2. Replication of Section I: Tables 1-2, Figures 1-8, Appendix Tables A.3-A.6, and Appendix Figures A.1-A.4 and A.10-A.14 (figures_paper) (requires Stata) See README.txt in the directory for details input file: run_figures_tables.do 3. Replication of Section III : VAR Evidence - Figures 9-10 and Appendix Figures A.5-A.7 (var_results)(requires Matlab) See README.txt in the directory for details input file: run_all.m 4. Replication of Section IV : Country-Specific GPR and Disaster Probability and Quantile Regressions - Tables 3-4 (disaster_regressions)(requires Stata) See README.txt in the directory for details input file: run_replication_country_gpr.do 5. Replication of Section V : Firm-Specific Geopolitical Risk - Table 5, Figure 11, Appendix Table A.7, and Appendix Figure A.9 (firm_regressions)(requires Stata) See README.txt file in the directory for details. input file: run_replication_firm_shuffled.do (Note that replication of the results here requires downloading firm-level balance sheet data through Compustat/WRDS. See firm_documentation below for instructions on how to build the firm_level.dta file) 6. Auxiliary Material (Section V): Construction of Industry-Specific Exposure to Geopolitical Risk - Appendix Figure A.8 (industry_regressions)(requires Stata) See README.txt file in the directory for details. input file: run_replication_industry.do 7. Auxiliary Material: Documentation on how to Build the firm_level.dta file (firm_documentation)See README_BUILD.txt file in the directory for details. 8. Auxiliary Material (Section II): Tabulations of Daily Narrative GPR Data from The New York Times (narrative_index)See README.txt file in the directory for details. 9. Appendix: Details on the Construction of the Human GPR Index (human_index)See README.txt file in the directory for details. 10. Appendix: Audit of Articles Belonging to the GPR Index Described in Appendix Table A.3 (audit_coded)See README.txt file in the directory for details. 11. Appendix: Granger Causality Tests --- Appendix Table A.8 (granger_causality)(requires Stata) See README.txt file in the directory for details. input file: run_granger_test.do 12. Appendix: Replication of Textual Analysis in Appendix Tables A.1 and A.2 (text_analysis)(requires Matlab, including text analytics toolbox, and Stata for generating the formatted tables in the appendix) See README.txt file in the directory for details. input files: run_find_grams_textanalytics.m and run_app_tables_1_2.do 13. Auxiliary Material: Estimation of the Country Disaster Events from 1900 through 2019 (disaster_estimation)(requires R) See README.txt file in the directory for details. 14. Auxiliary Material: Stata File with Firm-Level Geopolitical Risk Data (firm_level_gpr)See README.txt file in the directory for details. 15. Auxiliary Material: Search Queries for News-Based GPR Index (news_searches)See README.txt file in the directory for details. 16. Auxiliary Material: Search Queries for Firm-Level GPR Index (firm_level_searches)(requires Anaconda) See README.txt file in the directory for details.

概述 本档案包含可复现《地缘政治风险测度》（Measuring Geopolitical Risk）论文结果的全部文件，以及论文中提及的所有补充文档。每个目录均为独立完备的单元，如需运行所需脚本，请下载对应目录下的全部文件，详细操作说明参见各目录内的README文件。更新后的数据集可访问地缘政治风险指数官网获取，网址为：https://www.matteoiacoviello.com/gpr.htm 如有疑问或建议，请致邮iacoviel@gmail.com 数据可用性声明 本论文所用全部数据均已收录至本仓库，仅Compustat季度企业层面数据除外，该类数据需通过沃顿研究数据服务平台（WRDS，网址：https://wrds-www.wharton.upenn.edu/pages/）注册账户后下载获取。 所用软件环境 本仓库内的代码已完成适配测试，其中*.do格式文件可在Stata/MP 16.0环境下运行，*.m格式文件适配Matlab R2019/A环境，*.R格式文件适配R Version 4.04环境，*.py与*.ipynb格式文件适配Anaconda 3环境。多数代码在配备16GB内存的个人笔记本电脑上仅需数秒至数分钟即可运行，仅用于估计灾害事件的R代码例外：按照Nakamura等人2013年论文的标准设置（nIter=50000，nRuns=40）运行时，耗时约需2天。 各目录清单及主要输入文件（如存在）列表 1. 论文所用月度地缘政治风险（Geopolitical Risk，简称GPR）数据（data_paper）：详细说明参见对应目录内的README.txt文件。包含文件：data_gpr_export.dta（Stata格式）、data_gpr_export.xls（Excel格式）。 2. 第I部分复现：表格1-2、图1-8、附录表格A.3-A.6及附录图A.1-A.4、A.10-A.14（figures_paper）：需使用Stata运行，详细说明参见对应目录内的README.txt文件。输入文件：run_figures_tables.do。 3. 第III部分复现：向量自回归（VAR）实证分析——图9-10及附录图A.5-A.7（var_results）：需使用Matlab运行，详细说明参见对应目录内的README.txt文件。输入文件：run_all.m。 4. 第IV部分复现：国别层面地缘政治风险（GPR）、灾害概率与分位数回归——表格3-4（disaster_regressions）：需使用Stata运行，详细说明参见对应目录内的README.txt文件。输入文件：run_replication_country_gpr.do。 5. 第V部分复现：企业层面地缘政治风险——表格5、图11、附录表格A.7及附录图A.9（firm_regressions）：需使用Stata运行，详细说明参见对应目录内的README.txt文件。输入文件：run_replication_firm_shuffled.do。注意：复现该部分结果需通过Compustat/沃顿研究数据服务平台（WRDS）下载企业层面资产负债表数据，构建firm_level.dta文件的操作说明详见下文的firm_documentation目录。 6. 辅助材料（第V部分）：行业层面地缘政治风险敞口构建——附录图A.8（industry_regressions）：需使用Stata运行，详细说明参见对应目录内的README.txt文件。输入文件：run_replication_industry.do。 7. 辅助材料：firm_level.dta文件构建指南（firm_documentation）：详细说明参见对应目录内的README_BUILD.txt文件。 8. 辅助材料（第II部分）：《纽约时报》每日叙事型地缘政治风险（GPR）数据统计表格（narrative_index）：详细说明参见对应目录内的README.txt文件。 9. 附录：人工标注地缘政治风险（GPR）指数构建细节（human_index）：详细说明参见对应目录内的README.txt文件。 10. 附录：附录表格A.3中提及的地缘政治风险（GPR）索引相关文章审核编码（audit_coded）：详细说明参见对应目录内的README.txt文件。 11. 附录：格兰杰因果检验——附录表格A.8（granger_causality）：需使用Stata运行，详细说明参见对应目录内的README.txt文件。输入文件：run_granger_test.do。 12. 附录：附录表格A.1、A.2的文本分析复现（text_analysis）：需使用搭载文本分析工具箱的Matlab环境，附录格式化表格的生成需使用Stata。详细说明参见对应目录内的README.txt文件。输入文件：run_find_grams_textanalytics.m与run_app_tables_1_2.do。 13. 辅助材料：1900年至2019年国别灾害事件估计（disaster_estimation）：需使用R语言运行，详细说明参见对应目录内的README.txt文件。 14. 辅助材料：企业层面地缘政治风险数据Stata文件（firm_level_gpr）：详细说明参见对应目录内的README.txt文件。 15. 辅助材料：新闻类地缘政治风险（GPR）指数搜索词集（news_searches）：详细说明参见对应目录内的README.txt文件。 16. 辅助材料：企业层面地缘政治风险（GPR）指数搜索词集（firm_level_searches）：需使用Anaconda环境运行，详细说明参见对应目录内的README.txt文件。

提供机构：

ICPSR - Interuniversity Consortium for Political and Social Research

创建时间：

2022-03-24

搜集汇总

数据集介绍