## 2 Methodology and Data
### The Data  
To measure geopolitical risk, we compile a dataset of monthly GPR indices for 14 developing countries (Turkey, Mexico, Korea, Russia, India, Brazil, China, Indonesia, Saudi Arabia, Argentina, Thailand, Israel, Malaysia, Philippines) from Caldara and Iacovello as proposed in [19] and we also use data on West Texas Intermediate crude oil prices, gold prices, and exchange rates for the selected national currencies against the U.S. dollar. All variables are from the database of the Federal Reserve Bank of St. Louis (FRED). We also compile stock index prices from _Yahoo! Finance_ for the selected economies, in order to study the relationship between GPR and the financial market. The GPR data spans the period January 1985-May 2018 and it is adjusted according to the availability of the rest of the variables for each country. All of the values are transformed into their logarithmic forms. The descriptive statistics for all variables are reported in Table 1.  
As we observe, all variables are negatively skewed, suggesting that the mass of the distribution is gathered at the left end of the distribution, exhibiting frequent values that are lower than the mean. The \begin{table}
\begin{tabular}{c c c c c c c} \hline \hline
**Countries** & **Mean** & **Standard Deviation** & **Skewness** & **Kurtosis** & **Start Date** & **End Date** \\ \hline \multicolumn{6}{c}{Panel A: Exchange rates} \\ \hline Turkey & \(-1.79\) & \(2.95\) & \(-0.76\) & \(2.00\) & Dec-84 & Apr-18 \\ Mexico & \(2.37\) & \(0.36\) & \(-1.19\) & \(5.69\) & Dec-92 & Jun-17 \\ Korea & \(6.89\) & \(0.20\) & \(-0.17\) & \(2.00\) & Dec-84 & May-18 \\ Russia & \(2.89\) & \(1.21\) & \(-1.68\) & \(5.49\) & May-92 & Mar-18 \\ India & \(3.58\) & \(0.50\) & \(-0.96\) & \(2.78\) & Dec-84 & May-18 \\ Brazil & \(0.71\) & \(0.38\) & \(-0.46\) & \(2.52\) & Dec-94 & May-18 \\ China & \(1.86\) & \(0.30\) & \(-1.13\) & \(3.29\) & Dec-84 & May-18 \\ Indonesia & \(8.55\) & \(0.84\) & \(-0.48\) & \(1.50\) & Dec-84 & Mar-18 \\ Saudi Arabia & \(1.32\) & \(0.00\) & \(-3.69\) & \(50.75\) & Oct-95 & May-18 \\ Argentina & \(1.20\) & \(0.87\) & \(0.17\) & \(2.37\) & Jul-96 & May-18 \\ Thailand & \(3.46\) & \(0.19\) & \(0.25\) & \(1.78\) & Dec-84 & May-18 \\ Israel & \(1.15\) & \(0.37\) & \(-1.32\) & \(4.19\) & Dec-84 & Mar-18 \\ Malaysia & \(1.16\) & \(0.18\) & \(-0.03\) & \(1.53\) & Dec-84 & May-18 \\ Philippines & \(3.80\) & \(0.19\) & \(-1.53\) & \(5.21\) & Oct-95 & May-18 \\ \hline \multicolumn{6}{c}{Panel B: Stock indices} \\ \hline Turkey & \(8.88\) & \(2.61\) & \(-0.91\) & \(2.44\) & Dec-89 & May-18 \\ Mexico & \(9.37\) & \(1.15\) & \(-0.25\) & \(1.61\) & Oct-91 & May-18 \\ Korea & \(6.83\) & \(0.66\) & \(-0.72\) & \(3.50\) & Dec-84 & May-18 \\ Russia & \(6.56\) & \(1.12\) & \(-1.10\) & \(3.19\) & Aug-97 & May-18 \\ India & \(8.49\) & \(1.29\) & \(-0.33\) & \(2.12\) & Dec-84 & May-18 \\ Brazil & \(8.61\) & \(3.94\) & \(-2.16\) & \(6.54\) & Nov-89 & May-18 \\ China & \(7.35\) & \(0.73\) & \(-1.27\) & \(5.22\) & Nov-90 & May-18 \\ Indonesia & \(6.69\) & \(1.30\) & \(-0.11\) & \(2.20\) & Dec-84 & May-18 \\ Saudi Arabia & \(8.37\) & \(0.76\) & \(-0.30\) & \(1.71\) & Dec-93 & May-18 \\ Argentina & \(6.66\) & \(2.39\) & \(-2.09\) & \(9.16\) & Dec-87 & May-18 \\ Thailand & \(6.87\) & \(0.40\) & \(-0.18\) & \(1.91\) & Apr-03 & May-18 \\ Israel & \(6.38\) & \(0.69\) & \(-0.39\) & \(1.73\) & Aug-92 & May-18 \\ Malaysia & \(7.15\) & \(0.33\) & \(-0.57\) & \(1.97\) & Jun-02 & May-18 \\ Philippines & \(7.76\) & \(0.71\) & \(0.14\) & \(2.12\) & Nov-86 & May-18 \\ \hline \multicolumn{6}{c}{Panel C: Other variables} \\ \hline WTI oil & \(3.54\) & \(0.65\) & \(0.36\) & \(1.78\) & Dec-84 & May-18 \\ Gold price & \(6.30\) & \(0.60\) & \(0.64\) & \(1.82\) & Dec-84 & May-18 \\ \hline \hline \end{tabular}
\end{table} 
Table 1: Descriptive Statistics. kurtosis of the exchange rates is mainly below 3, indicating platykurtic distributions, while for Mexico, Saudi Arabia, Israel, and Philippines, we observe high values that suggest leptokurtic distributions.