This file is part of IDEAS, which uses RePEc data


[ Papers | Articles | Software | Books | Chapters | Authors | Institutions | JEL Classification | NEP reports | Search | New papers by email | Author registration | Rankings | Volunteers | FAQ | Blog | Help! ]

The effect of the war risk: a comparison of the consequences of the two Iraq wars on some financial variables

Author info | Abstract | Publisher info | Download info | Related research | Statistics
Author Info
Elena Corallo () (Cattaneo University (LIUC))
Abstract

This paper measures the effect of war on some financial variables using the heteroskedasticity based estimation technique proposed by Rigobon and Sack (2005). The importance of applying this technique is due to the possibility of capturing the effect of a variable, which is here the risk of war, that is not measurable. This work compares the effect of the Iraq war of 1991 with the Iraq war of 2003 on different variables in Italy and US. According to the results, we find that the two wars caused different effects on the analysed variables.

Download Info
To download:

If you experience problems downloading a file, check if you have the proper application to view it first. Information about this may be contained in the File-Format links below. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.biblio.liuc.it/liucpap/pdf/171.pdf
File Format: application/pdf
File Function:
Download Restriction: no

Publisher Info
Paper provided by Cattaneo University (LIUC) in its series LIUC Papers in Economics with number 171.

Download reference. The following formats are available: HTML (with abstract), plain text (with abstract), BibTeX, RIS (EndNote, RefMan, ProCite), ReDIF
Length: 16 pages
Date of creation: Jun 2005
Date of revision:
Handle: RePEc:liu:liucec:171

Contact details of provider:
Postal: Corso Matteotti 22 - Castellanza (VA) 21053
Phone: +39 (0)331-572 1
Fax: +39 (0)331-572 320
Email:
Web page: http://www.liuc.it/default.asp
More information through EDIRC

For technical questions regarding this item, or to correct its listing, contact: (Carlo Lucchesi).

Related research
Keywords:

This paper has been announced in the following NEP Reports:

References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Roberto Rigobon & Brian Sack, 2003. "Spillovers across U.S. financial markets," Finance and Economics Discussion Series 2003-13, Board of Governors of the Federal Reserve System (U.S.). [Downloadable!]
    Other versions:
  2. Roberto Rigobon, 2003. "Identification Through Heteroskedasticity," The Review of Economics and Statistics, MIT Press, vol. 85(4), pages 777-792, 09. [Downloadable!] (restricted)
  3. Martin D. D. Evans & Richard K. Lyons, 2003. "How is Macro News Transmitted to Exchange Rates?," NBER Working Papers 9433, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  4. Rigobon, Roberto & Sack, Brian, 2005. "The effects of war risk on US financial markets," Journal of Banking & Finance, Elsevier, vol. 29(7), pages 1769-1789, July. [Downloadable!] (restricted)
    Other versions:
  5. Roberto Rigobon & Brian Sack, 2003. "Measuring The Reaction Of Monetary Policy To The Stock Market," The Quarterly Journal of Economics, MIT Press, vol. 118(2), pages 639-669, May. [Downloadable!] (restricted)
    Other versions:
  6. Rigobon, Roberto & Sack, Brian, 2004. "The impact of monetary policy on asset prices," Journal of Monetary Economics, Elsevier, vol. 51(8), pages 1553-1575, November. [Downloadable!] (restricted)
    Other versions:
  7. Kenneth D. West & Ka-fu Wong & Stanislav Anatolyev, 2007. "Instrumental Variables Estimation of Heteroskedastic Linear Models Using All Lags of Instruments," NBER Technical Working Papers 0338, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
    Other versions:
  8. Kristin Forbes & Roberto Rigobon, 2000. "Contagion in Latin America: Definitions, Measurement, and Policy Implications," NBER Working Papers 7885, National Bureau of Economic Research, Inc. [Downloadable!] (restricted)
Full references

Statistics
Access and download statistics

Did you know? About 2700 working paper series are listed on RePEc.

This page was last updated on 2009-11-25.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.