Invaluable New Geopolitical Risk Indexes: AI-GPR, GPR-Oil, And More

Readers of Econbrowser know that I’ve put a lot of stress on using high frequency measures of uncertainty and risk to interpret recent events. One of those indices is the Caldara-Iacoviello GeoPolitical Risk index (GPR), referenced in too many of my posts. Matteo Iacoviello and his coauthor Jonathan Tong have undertaken a new project of invaluable service to the profession, developing AI-GPR, which uses LLMs (paper here).

Here’s the recent time series on AI-GPR.

Figure 1: AI-GPR (blue), and 7 day centered moving average (red). Source: matteoiacoviello.com.

Here’s another index, based on mideast-oil GPR (there’s also one for oil generally):

Figure 2: GPR-oil-MiddleEast (blue), and 7 day centered moving average (red). Source: matteoiacoviello.com.

There’re breakdowns by type, by country, by bilateral pairs — of which can be particularly useful for cross section analyses. Here’s US-China/China-US bilateral relationship:

Note: 3 month moving average of daily data. Source: matteoiacoviello.com.

As a side note, I do find it of interest how far the index has come down during the last few months of the Trump 2.0 administration. 磕頭?