Using a novel set of instrumental variables in a structural VAR framework, we investigate the economic impact of uncertainty shocks stemming from geopolitical swings in South Korea. We construct robust instrumental variables for examining the variations in uncertainty due to geopolitical swings...

We investigate how corporate stock returns respond to geopolitical risk in the case of South Korea, which has experienced large and unpredictable geopolitical swings that originate from North Korea. To do so, a monthly index of geopolitical risk from North Korea (the GPRNK index) is constructed...

As geopolitical factors increasingly influence markets, investors need to gauge the impact on investments. Most experts consider political risks unquantifiable, but this publication shows how such risks can be quantified and used for risk management

Given the importance of stock market synchronization for international portfolio diversification, we estimate the degrees of co-movements among US, Chinese and Russian markets. By applying the TVP-VAR approach, we measure total and bivariate synchronization indices utilizing daily data from 1998...