Data from: Economic uncertainty, geopolitical risk and U.S. energy price risk spillover: An empirical study based on the risk spillover model
Data files
Sep 05, 2023 version files 29.78 KB
-
Raw_data.xlsx
-
README.md
Abstract
This data is mainly used to analyze the risk correlation among economic uncertainly,geopolitical risk and energy price,and can also be applied to the TVP-VAR model to analyze the correlation between different variables using the time-varying parameter model,which has great potential for reuse. The risk relationship between economic uncertainly.At the same time,since it is macroeconomic data,it does not involve any moral and ethical issues.
README: Economic uncertainty, geopolitical risk and U.S. energy price risk spillover: An empirical study based on the risk spillover model
Economic uncertainty, geopolitical risk and U.S. Energy Price risk spillover: An empirical study based on the Risk spillover model
Description of the data and file structure
The data set consists of the economic uncertainty index for the United States from 2009 to the end of 2023, the geopolitical risk index, and the time series data of major energy prices
Data potential
This data is mainly used to analyze the risk correlation among economic uncertainty, geopolitical risk and energy price, and can also be applied to the TVP-VAR model to analyze the correlation between different variables using the time-varying parameter model, which has great potential for reuse. The risk relationship between economic uncertainty, geopolitical risk and energy price can be analyzed more accurately. At the same time, since it is macroeconomic data, it does not involve any moral and ethical issues
Concrete data definition: date indicates the period from January 31, 2009 to March 31, 2023, in months
Economic represents the economic uncertainty index for the United States from the end of January 2009 to March 2023
First, they collected the number of articles containing keywords such as "economy," "policy," and "uncertainty" from major newspapers in each country as raw data.
Second, they standardized the raw data so that it averaged 100, taking into account seasonal factors and long-term trends.
Third, they weighted the standardised data, weighting each country according to circulation and influence.
Finally, they aggregate the economic policy uncertainty index of each country to obtain the global economic policy uncertainty index.
- Brunt stands for month-end Brent crude oil price data,The unit is liters per U.S. dollar
- Gasoline stands for month-end gasoline price data,The unit is liters per U.S. dollar
- Diesel stands for month-end diesel price data,The unit is liters per U.S. dollar
- GPR stands for U.S. geopolitical risk,Unit is percentage First, they collected the number of articles containing geopolitics-related words from major U.S. newspapers as raw data. These terms fall into four broad categories: geopolitical threats, tensions, geopolitical events, and geopolitical behavior. Second, they standardized the raw data so that it averaged 100, taking into account seasonal factors and long-term trends. Third, they weighted the standardised data, assigning weights to countries according to their share of GDP. Finally, they aggregate the geopolitical risk indices of each country to obtain the global geopolitical risk index.
- Elprice stands for month-end electricity price data,The unit is kilowatts per U.S. dollar
BRUNT stands for month-end Brent oil price data,The unit is liters per U.S. dollar
Fuel oil represents month-end data of fuel oil prices,The unit is liters per dollar
Natural gas price represents month-end data of natural gas prices,Unit is percentage
In short, the above variables are selected from the United States during the period from January 31, 2009 to March 31, 2023
Sharing/access Information
This data is mainly derived from Bloomberg database and Casmar database
DOI: 10.5061/dryad.rn8pk0pht