The Effects of War Risk on U.S. Financial Markets
AbstractThis paper measures the effects of the risk of war on nine U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in the risk of war cause declines in Treasury yields and equity prices, a widening of lower-grade corporate spreads, a fall in the dollar, and a rise in oil prices. This war risk factor' accounted for a considerable portion of the variance of these financial variables over the ten weeks leading up to the onset of war with Iraq.
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Bibliographic InfoPaper provided by National Bureau of Economic Research, Inc in its series NBER Working Papers with number 9609.
Date of creation: Apr 2003
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Other versions of this item:
- Roberto Rigobon & Brian Sack, 2003. "The effects of war risk on U.S. financial markets," Finance and Economics Discussion Series 2003-18, Board of Governors of the Federal Reserve System (U.S.).
- Rigobon, Roberto & Sack, Brian P., 2003. "The Effects of War Risk on U.S. Financial Markets," Working papers 4417-03, Massachusetts Institute of Technology (MIT), Sloan School of Management.
- E4 - Macroeconomics and Monetary Economics - - Money and Interest Rates
- E0 - Macroeconomics and Monetary Economics - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2003-04-09 (All new papers)
- NEP-FIN-2003-04-09 (Finance)
- NEP-FMK-2003-04-09 (Financial Markets)
- NEP-RMG-2003-04-09 (Risk Management)
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