The Effects of War Risk on U.S. Financial Markets
This 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 i...
| Main Authors: | , |
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| Format: | Working Paper |
| Language: | en_US |
| Published: |
2003
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| Subjects: | |
| Online Access: | http://hdl.handle.net/1721.1/1848 |
| _version_ | 1826204161248591872 |
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| author | Rigobon, Roberto Sack, Brian P. |
| author_facet | Rigobon, Roberto Sack, Brian P. |
| author_sort | Rigobon, Roberto |
| collection | MIT |
| description | This 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. |
| first_indexed | 2024-09-23T12:49:52Z |
| format | Working Paper |
| id | mit-1721.1/1848 |
| institution | Massachusetts Institute of Technology |
| language | en_US |
| last_indexed | 2024-09-23T12:49:52Z |
| publishDate | 2003 |
| record_format | dspace |
| spelling | mit-1721.1/18482019-04-11T09:45:31Z The Effects of War Risk on U.S. Financial Markets Rigobon, Roberto Sack, Brian P. War Risk Stock Markets Monetary Policy Identification Heteroskedasticity This 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. 2003-04-14T18:15:18Z 2003-04-14T18:15:18Z 2003-04-14T18:15:18Z Working Paper http://hdl.handle.net/1721.1/1848 en_US MIT Sloan School of Management Working Paper;4417-03 244901 bytes application/pdf application/pdf |
| spellingShingle | War Risk Stock Markets Monetary Policy Identification Heteroskedasticity Rigobon, Roberto Sack, Brian P. The Effects of War Risk on U.S. Financial Markets |
| title | The Effects of War Risk on U.S. Financial Markets |
| title_full | The Effects of War Risk on U.S. Financial Markets |
| title_fullStr | The Effects of War Risk on U.S. Financial Markets |
| title_full_unstemmed | The Effects of War Risk on U.S. Financial Markets |
| title_short | The Effects of War Risk on U.S. Financial Markets |
| title_sort | effects of war risk on u s financial markets |
| topic | War Risk Stock Markets Monetary Policy Identification Heteroskedasticity |
| url | http://hdl.handle.net/1721.1/1848 |
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