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: | Rigobon, Roberto, Sack, Brian P. |
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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 |
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