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Investment-at-Risk of Geopolitical Tensions

Author

Listed:
  • Fabio Anobile

    (LUM University)

  • Francesco Frangiamore

    (University of Palermo)

  • Marco Maria Matarrese

    (University of Palermo)

  • Jamel Saadaoui

    (University Paris 8)

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.

Suggested Citation

  • Fabio Anobile & Francesco Frangiamore & Marco Maria Matarrese & Jamel Saadaoui, 2025. "Investment-at-Risk of Geopolitical Tensions," Working Papers 2025.19, International Network for Economic Research - INFER.
    • Handle: RePEc:inf:wpaper:2025.19
    as

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    More about this item

    Keywords

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    JEL classification:

    • E - Macroeconomics and Monetary Economics
    • M - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics

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