This study investigates the long-run relationship between geopolitical risk (GPR) and Italian sovereign bond yields over the period 1994 – 2024, with the aim of reassessing the determinants of the risk-free component of the cost of capital. While standard financial theory typically assumes the risk-free rate to be exogenous and stable, increasing evidence suggests that geopolitical uncertainty may systematically influence sovereign yield dynamics. To address this issue, the empirical analysis was settled on Johansen cointegration model within a vector error correction framework, enabling the identification of both long-run equilibrium relationships and short-run adjustment mechanisms […]