Readings and resources · M12 Geopolitics

Read first

MacKinlay, A. C. (1997). "Event Studies in Economics and Finance." Journal of Economic Literature 35(1):13–39. RePEc: https://econpapers.repec.org/RePEc:aea:jeclit:v:35:y:1997:i:1:p:13-39. Read all of it. It is the source for 12.1–12.3.
Campbell, J., Lo, A. and MacKinlay, A. C. (1997). The Econometrics of Financial Markets, ch. 4 (event-study analysis, including J1 and J2).
Caldara, D. and Iacoviello, M. (2022). "Measuring Geopolitical Risk." American Economic Review 112(4):1194–1225. https://www.aeaweb.org/articles?id=10.1257/aer.20191823. Data: https://www.matteoiacoviello.com/gpr.htm.

Then, for depth 4. Patell, J. (1976). "Corporate Forecasts of Earnings Per Share and Stock Price Behavior: Empirical Test." Journal of Accounting Research 14(2), from p. 246. 5. Boehmer, E., Musumeci, J. and Poulsen, A. (1991). "Event-study methodology under conditions of event-induced variance." Journal of Financial Economics 30(2):253–272. 6. Kolari, J. and Pynnönen, S. (2010). "Event Study Testing with Cross-sectional Correlation of Abnormal Returns." Review of Financial Studies 23(11):3996–4025. 7. Iacoviello, M. and Tong, J. (2026). "The AI-GPR Index: Measuring Geopolitical Risk using Artificial Intelligence." Federal Reserve Board working paper. https://www.matteoiacoviello.com/ai_gpr.html. 8. Kilian, L. (2009). "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market." American Economic Review 99(3):1053–1069 (supply versus demand shocks; M10 · 10.8.1). 9. Yergin, D., The Prize (oil and geopolitics, especially the chapters on 1973 and 1990). 10. On probabilistic judgement: Tetlock and Gardner, Superforecasting (2015), for calibration and base rates.

Data

EIA: Brent (RBRTED) and WTI (RWTCD) daily spot histories, https://www.eia.gov/dnav/pet/; Today in Energy chokepoint notes (Hormuz, 16 Jun 2025; Bab-el-Mandeb, 11 Oct 2024).
IMF PortWatch (chokepoint transit data): https://portwatch.imf.org.
IEA Oil Market Report and emergency-response pages: https://www.iea.org.
GPR and AI-GPR CSVs: links above. Economic Policy Uncertainty: https://www.policyuncertainty.com.
NSE historical index data and India VIX: https://www.nseindia.com. The labs load real Nifty, India VIX and Brent series in the app; offline, put NSE's daily index files (or EIA's Brent series) in the toolkit cache and read them with toolkit.data.load(..., source="cache").