The Effects of War Risk on U.S. Financial Markets

Rigobon, Roberto; Sack, Brian

The Effects of War Risk on U.S. Financial Markets

No 9609, NBER Working Papers from National Bureau of Economic Research, Inc

Abstract: 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.

JEL-codes: E0 E4 (search for similar items in EconPapers)
Date: 2003-04
New Economics Papers: this item is included in nep-fin, nep-fmk and nep-rmg
Note: IFM AP
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Citations: View citations in EconPapers (1)

Published as 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.

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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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