DOI: 10.5061/dryad.rn8pk0pht
title: Data from: Economic uncertainty, geopolitical risk and U.S. energy price risk spillover: An empirical study based on the risk spillover model

description: 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.
description: # 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