The effects of war risk on U.S. financial markets

Roberto Rigobon and Brian P. Sack

No 2003-18, Finance and Economics Discussion Series from Board of Governors of the Federal Reserve System (U.S.)

Abstract: This paper measures the effects of the risks associated with the war in Iraq on various U.S. financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in what we call the \"war risk\" factor caused 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 factor accounted for a considerable portion of the variances of these financial variables over the three months leading up to the arrival of coalition forces in central Baghdad.

Keywords: War; -; Economic; aspects (search for similar items in EconPapers)
Date: 2003
New Economics Papers: this item is included in nep-fin and nep-rmg
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: The effects of war risk on US financial markets (2005)
Working Paper: The Effects of War Risk on U.S. Financial Markets (2003)
Working Paper: The Effects of War Risk on U.S. Financial Markets (2003)
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Persistent link: https://EconPapers.repec.org/RePEc:fip:fedgfe:2003-18

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