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Amundi

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Geopolitical Risk and Asset Pricing Across Market Regimes

Geopolitical Risk and Asset Pricing Across Market Regimes

This paper examines how geopolitical risk (GPR) is transmitted across global financial markets by analyzing its effects on equities, sovereign bonds, foreign exchange, and commodities. Moving beyond single-regime and single-dimension approaches, the study adopts a two-regime Markov-switching framework to capture the state-dependent pricing of geopolitical shocks under low- and high-volatility ...

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