## GFSR Chapter 2 Apr. 2025 — dataset overview ## Source details **Canonical URL:** [GFSR Chapter 2 Apr. 2025 — dataset overview](https://www.imf.org/-/media/files/publications/gfsr/2025/april/data/ch2data.xlsx) ## Other formats - [Markdown version](/-/media/files/publications/gfsr/2025/april/data/ch2data.xlsx.md) - [Structured JSON version](/-/media/files/publications/gfsr/2025/april/data/ch2data.xlsx.json) --- ### Scope and contents - Worksheet count includes named worksheets such as "GFSR Chapter 2 Apr. 2025", "Table of Contents", and Figures "Figure 2.1." through "Figure 2.1.1". - The dataset contains time series, event-based windows, cross-sectional firm and fund exposures, and panel/tabular results covering geopolitical risk and financial-market responses. - Example worksheet rowCount and columnCount samples: - "GFSR Chapter 2 Apr. 2025": rowCount 32, columnCount 10 - "Table of Contents": rowCount 32, columnCount 12 - "Figure 2.1.": rowCount 426, columnCount 24 - "Figure 2.5.": rowCount 2940, columnCount 48 - "Figure 2.7.": rowCount 3082, columnCount 26 - "Figure 2.1.1": rowCount 63, columnCount 10 ### Geopolitical risk indices and long-run indicators (Figure 2.1.) - Geopolitical Risk Index series reported as monthly timestamps (example entries use ISO dates such as "1990-01-01T00:00:00.000Z" through "1990-05-01T00:00:00.000Z") with indexed values (example: 81.5440444946289; 77.40721130371094; 67.5919418334961; 81.64384460449219; 86.40711975097656). - Ratio and median military expenditure to GDP examples by subperiods: - "1990-94": 2.2333238599999996 (Median military expenditure to GDP indicated in context) - "1995-99": 1.75055164 - "2000-04": 1.65748846 - "2005-09": 1.5280884999999997 - Counts of sanctioned countries by year examples: - 1990: 24 trade sanctions, 38 financial sanctions - 1991: 23, 45 - 1992: 43, 50 - 1993: 44, 51 - Fragmentation index quarterly example values: - "1990:Q1": 0.228063651 - "1990:Q2": 0.315167081 - "1990:Q3": 0.282531402 - "1990:Q4": 0.234391745 - "1991:Q1": 0.282514318 ### Stock market reactions to geopolitical events (Figures 2.2., 2.4., 2.5., 2.6.) - Short- to medium-run average real stock-market returns after major events (Figure 2.2. sample): - S&P: 1d -0.4298379130434782, 1w -0.4909509304347825, 1m 1.1242530652173914, 3m 0.8732270521739133, 6m 4.29864525652174, 12m 6.899048304545454 - FTSE: 1d -1.1266599944444444, 1w -1.2295745277777779, 1m 0.24859059199999986, 3m 0.6366785319999999, 6m 1.4738223240000001, 12m 4.450298704000001 - Cross-country/event examples for average weekly cumulative stock changes (Figure 2.4.): - 1990-08-02T00:00:00.000Z Advanced economies: -6.482328414916992 (Percent) - 1990-08-02T00:00:00.000Z Energy sector: 14.90673828125 (Percent) - Monthly cumulative changes in real aggregate stock prices after shocks (Figure 2.5. sample points; monthly horizons labeled 0–20): - Global GPR shock monthly series includes: -0.738333036397025, -0.494847826078426, -0.327640979219873, -0.209677558423782, -0.125965519987339, -0.0479995407679813, 0.00913222946283519, 0.0541917953714122, 0.0906436326303572, 0.125007456592264, 0.153054072862011, 0.177754716455371, 0.19767169647186, 0.214341710055432, 0.232893186874098, 0.243729044869807, 0.257888516419146, 0.264923080934038, 0.272623428588321, 0.281174963993492, 0.286073146509045 - Country-specific GPR shock monthly series includes: -0.160987636862758, -0.136290109589177, -0.243194259989362, -0.286775842373911, -0.32158209900683, -0.339088553596675, -0.345210196811827, -0.346452948145114, -0.342907164973478, -0.335570953760604, -0.326350446397405, -0.315355006063122, -0.304279669002747, -0.292730437884523, -0.281428975895994, -0.271330046243468, -0.260729162674188, -0.250068686462824, -0.240083525850652, -0.230199503426485, -0.222731988346098 - Large country-specific GPR shock monthly series includes: -1.66483862281054, -1.19281502322836, -1.71041567722611, -1.87903168262384, -1.90179250363733, -1.87087998942966, -1.8188495785193, -1.767672297084, -1.70863388158383, -1.65830527236522, -1.61451116537408, -1.5723087086753, -1.52367865029455, -1.49126504135157, -1.44185055077254, -1.4029482077548, -1.37550692345986, -1.34154302917762, -1.30458010935386, -1.27408125573734, -1.24051716370888 ### Asset-class heterogeneity and commodity impacts (Figure 2.4., 2.5.) - Sovereign CDS and government bond responses examples (Figure 2.4.): - 1990-08-02T00:00:00.000Z Advanced economies sovereign five-year CDS: 36.17142868041992 (Basis points) - 1991-01-04T00:00:00.000Z Advanced economies 10-year government bond yield change: 1.384020209312439 (Basis points) - Commodity futures responses (Figure 2.4.): - 1990-08-02T00:00:00.000Z Crude oil: 22.30215835571289 (Percent) - 1991-01-04T00:00:00.000Z Crude oil: 7.770401954650879 (Percent) - 2001-09-11T00:00:00.000Z Crude oil: 1.8018018007278442 (Percent) - 2003-03-19T00:00:00.000Z Crude oil: -12.57668685913086 (Percent) ### Firm-level exposures and cross-border links (Figures 2.6., 2.7., 2.8.) - Firms’ stock-return responses (Figure 2.6. sample): - Monthly response examples to geopolitical risk: Domestic GPR -1.185, Foreign GPR (Trade-weighted) -0.0584, Foreign GPR (Main trading partner) -0.8175 - Direct and indirect effects of Russia’s 2022 invasion (Figure 2.7. samples for cumulative returns and sectoral responses): - Cumulative stock indices baseline: 2013-01-08T00:00:00.000Z Russia 1, Ukraine 1 (Daily index, January 8, 2013 = 1) - Sector weekly cumulative returns sample values for 7-day and 21-day windows: Defense 9, Energy 7.1, Utilities 1.3, Aerospace -0.5, Real estate -1 - Firm revenue exposure and subsidiary presence effects sample values: Revenue exposure -0.69903428 (7-day), -0.8188068 (21-day); Subsidiary presence -2.6 (7-day), -2.8000000000000003 (21-day) - Firms’ exposure to Russia (Figure 2.8. sample period medians and shares): - 2012-14: Share of firms with subsidiaries in Russia 2.1785986669761583; Share of firms with revenue exposure in Russia 1.686728343889202; Median revenue exposure to Russia (right scale) 1.2284008264541626; Median ratio of total assets of subsidiaries (right scale) 0.26738377831255394 - 2015-21: 2.32971259930175; 2.114647629785077; 0.8183568460600716; 0.30950718958462986 - 2022: 2.153176155895259; 2.27476207845608; 0.755394458770752; 0.24183630011975765 - 2023: 1.5319826242663395; 2.2592875064937936; 0.7499109506607056; 0.13541284715756774 ### Trade policy events and tariff announcements (Figure 2.9., 2.13) - Cumulative three-day effects of US tariff announcements on firms’ stock prices (Figure 2.9.): - Firms in sectors facing tariffs — Chinese firms: Mean -3.671722556464374, Max 0.8996922522783279, Min -7.894813269376755 - Firms in sectors facing tariffs — US firms: Mean -1.3533428777009249, Max 1.6541872173547745, Min -2.8346464037895203 - Other firms — Chinese firms: Mean -3.5848584375344217, Max 2.208840847015381, Min -8.149944245815277 - Other firms — US firms: Mean -1.2771647656336427, Max 1.3413968496024609, Min -2.995947375893593 - Options-market pricing around China–US trade tensions (Figure 2.13 sample cumulative changes): - Global 0 week: 5.610676396578199 (downside risks), 1 week: 7.134098924954358 - US 0 week: 8.543388599326278, 1 week: 12.197268331320373 - China 0 week: 8.984985913367325, 1 week: 13.89342971620583 - Tail-risk series (0 week and 1 week) show large country-specific spikes (e.g., US 0 week 13.906098625738522; China 0 week 57.37889150984307) ### Sovereign risk premiums and CDS responses (Figure 2.10., Figure 2.4.) - Monthly response of sovereign CDS spreads to major domestic geopolitical risk events (Figure 2.10. samples): - International military conflict — All: 126.6 (Basis points) - International military conflict — AE: 43.99 - International military conflict — EM: 181.7 - "Other" events — All: 11.1 - Trade-weighted and main export-destination regressors example values: Trade weighted 39.29; Main export destination 0 - Additional reported small coefficients: 1.145, -16.61, -0.0919, 198.3, 20 (contextual column entries present) ### Pricing of geopolitical risk in equity and options markets (Figures 2.11., 2.12., 2.5.) - Geopolitical Risk Beta values by sector, 1989–2024 (Figure 2.11. sample): - All firms — Average -0.12394961; Interquartile range 3.08319621; Interquartile range 2.93588459 - Aerospace and defense sector — Average 0.67966807; Interquartile range 2.66596953; Interquartile range 3.83979187 - Consumer goods sector — Average -0.51865619; Interquartile range 3.21590489; Interquartile range 3.0891841099999997 - Energy sector — Average 0.97701091; Interquartile range 5.50067929; Interquartile range 5.18846241 - Cost of protection for downside risks and downside tail risks around Russia’s 2022 invasion (Figure 2.12. samples, indexed series): - Baseline index 2021-09-29T00:00:00.000Z = 100 for France, Germany, Russia (right scale), Global - Example subsequent index values 2021-10-06T00:00:00.000Z: France 110.06915541617788; Germany 113.77481705316497; Russia 105.43295591320569; Global 109.06115452654448 - Tail-risk index example 2021-10-13T00:00:00.000Z Russia (right scale) 157.98447018958498; Global 127.65981888686223 ### Banks and investment funds exposures and resilience (Figures 2.14., 2.15., 2.16.) - Banks’ exposure to countries experiencing major geopolitical events (Figure 2.14. samples): - Claims-weighted and liabilities-weighted quarterly samples: 2013:Q1 claims weighted 0, liabilities weighted 0; 2013:Q2 claims weighted 0.126075, liabilities weighted 0.0634575 - Cross-border claims on Russia and Ukraine relative changes (Figure 2.14. sample): 2010:Q2 -4.536186 (context suggests percent change or level); 2022:Q1 -58.856109386417955 (Direct left scale), 2022:Q2 -76.8409191448199, 2022:Q3 -87.61540410855095 - Investment funds’ domiciled-asset shares and flows (Figure 2.14., 2.16. samples): - Fund-type shares 2013:Q4 Bond fund 0.06285437266342342; Equity fund 0.3154332749545574; Mixed asset fund 0.05300954217091203; Other fund 0.030877551762387156 - Impact of higher exposure to destination geopolitical risk on monthly returns (Figure 2.16. samples): - Equity fund — International military conflict -0.022 - Equity fund — Other -0.006 - Bond fund — International military conflict -0.096 - Bond fund — Other -0.001 ### Bank capital, lending, and fund returns (Figure 2.15., 2.16.) - Annual change in bank equity after major domestic geopolitical risk events (Figure 2.15. samples): - International military conflict — Advanced economies -0.153; Emerging markets -0.365 - Other events — Advanced economies -0.0824; Emerging markets -0.192 - Investment funds’ monthly-flow impacts are reported in the dataset (Figure 2.16. contains panels for "Impact of Higher Exposure to Destination Geopolitical Risk on Funds’ Monthly Flows"). ### Downside risk to stock returns by region (Figure 2.1.1) - Global geopolitical risk and downside risk to stock market returns (AEs and EMs, sample horizons): - 1-month: AEs -0.06924975768500398; EMs 0.23768019439682245 - 3-month: AEs -1.3643466283435624; EMs -1.5599721868159497 - 6-month: AEs -2.2028637138601805; EMs -2.461519250444583 - 12-month: AEs -1.624808314190543; EMs 1.3978106198878468 *Dataset canonical URL: https://www.imf.org/-/media/files/publications/gfsr/2025/april/data/ch2data.xlsx* --- _Source: https://www.imf.org/-/media/files/publications/gfsr/2025/april/data/ch2data.xlsx_