Global risks, the macroeconomy, and asset prices.

We propose a novel index of global risks awareness (GRAI) based on the most concerning risks-classified in five categories (economic, environmental, geopolitical, societal, and technological)-reported by the World Economic Forum (WEF) according to the potential impact and likelihood occurrence. The degree of public concern toward these risks is captured by Google search volumes on topics having the same or similar wording of that one of the WEF Global Risk Report. The dynamics of our GRAI exhibits several spillover episodes and indicates that concerns on the five different categories of global risks are-on average-highly interconnected.