Geopolitical Alpha Index

Pillar 2 — Reserves. A proprietary 3-component composite measuring the width of the specific-access premium across geopolitical risk, regional energy dispersion, and the central-bank gold book. Updated .

Implication:

Data caveat

Composite level

Line = 3-month trailing MA of the composite z-score. Rail = percentile-banded regime (Generic Access → Acute). Shaded bands = NBER-dated US recessions.

Component breakdown

Each line is one component's walk-forward z (±4σ winsor). When all three are in the right tail simultaneously, the specific-access premium is at a regime extreme and the composite reads Acute.

Reserve currency composition (IMF COFER)

USD share of allocated FX reserves: % in → % in . Last 4 quarters:

pp. The dollar isn't dying — it's being reallocated to "Other" (CNY + minor reserve currencies) and EUR rather than to a single replacement. This is the headline measurable of the multi-polar transition; the GAI captures it via the offshore-rail premium component, this chart shows the underlying allocation drift directly. Data through:

. See the Multi-Polar World page for the broader cross-country complement.

Central bank gold demand — WGC

While COFER above shows what currencies sovereigns hold, this section shows their gold accumulation. Central bank net gold purchases stepped up materially after 2022 — the Russia FX-reserve freeze converted slow-diversification into urgent-diversification. Three consecutive years of ~1,000 tonnes/yr CB demand vs the pre-2022 norm around 400-600 tonnes.

Latest year

· YoY

Latest quarter

· YoY

Pre-2022 baseline

~500 t/yr

vs ~1,000 t/yr post-Russia freeze

Methodology

The Geopolitical Alpha Index measures the width of the specific-access premium priced into durable-edge assets — the alpha available in pillar-specific plays (regional crude, politically-neutral reserves, offshore dollar rails) vs the fading generic-access baseline of the 1991–2020 globalization regime.

Three orthogonal axes capture three channels of the repricing:

Component	Proxy	What it measures
Geopolitical risk	Caldara-Iacoviello GPR monthly level	The 40-year canonical gauge of regime-level geopolitical stress, constructed from newspaper-text mining
Energy regional dispersion	Brent − WTI monthly spread	Width of geography-as-alpha in crude — how much of oil pricing is regional-access rather than fungible benchmark
Unexplained gold	Residual of 12m log-gold returns on 12m real-yield change (expanding-window OLS)	When gold rallies more than real yields imply, the two-book regime is live: the CB / politically-neutral book, not the ETF / macro-hedge book, is setting price

Z-score convention. Walk-forward (expanding-window) z, minimum 60 months, ±4σ winsor — same discipline as Fiscal Dominance, Shadow Dollar, and Dollar Hegemony composites. The z at date $T$ uses only data through $T$.

Composite. $z^{\text{GAI}}_t = \tfrac{1}{3}\sum_i z^{i}_t$ — equal-weight.

Regime bands (composite percentile within its expanding-window history):

< 20 → Generic Access Regime — oil is one price, gold tracks real yields, geopolitics is headline not regime
20–40 → GP Alpha Soft — generic-access pricing mostly intact
40–60 → GP Alpha Neutral — mixed regime
60–80 → GP Alpha Elevated — specific-access premium widening
≥ 80 → GP Alpha Acute — specific-access premium at regime-extreme; two or more axes compounding

Vintage discipline

The GPR component uses vendor-published (revised) values. The Caldara-Iacoviello team does not publicly archive first-release vintages for this series, so GPR is the one component in this composite where strict ALFRED-style vintage discipline is not available. The caveat is surfaced in the snapshot; the other two components (Brent/WTI, real yields, gold) use ALFRED first-release where applicable.

Canon

Caldara & Iacoviello (2022, AER) — GPR index construction; Kilian (2009, AER) — oil-market structural decomposition (reused in the Energy page); Bordo & McCauley (2019) — central-bank reserve composition and geopolitical alignment; Farhi & Maggiori (2018, QJE) — theory of the dollar-hegemon / reserve-currency mechanism that the CB gold book is repricing against.

Inputs: Caldara-Iacoviello GPR (vendor Excel), FRED (DCOILBRENTEU, DCOILWTICO, DFII10), Yahoo Finance (GC=F). Nightly rebuild. See the methodology index for the full indicator manifest.