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

Please use this identifier to cite or link to this item: http://dspace.mediu.edu.my:8181/xmlui/handle/1721.1/1848

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DC Field	Value	Language
dc.creator	Rigobon, Roberto	-
dc.creator	Sack, Brian P.	-
dc.date	2003-04-14T18:15:18Z	-
dc.date	2003-04-14T18:15:18Z	-
dc.date	2003-04-14T18:15:18Z	-
dc.date.accessioned	2013-05-31T20:29:55Z	-
dc.date.available	2013-05-31T20:29:55Z	-
dc.date.issued	2013-06-01	-
dc.identifier	http://hdl.handle.net/1721.1/1848	-
dc.identifier.uri	http://koha.mediu.edu.my:8181/jspui/handle/1721	-
dc.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.	-
dc.format	244901 bytes	-
dc.format	application/pdf	-
dc.language	en_US	-
dc.relation	MIT Sloan School of Management Working Paper;4417-03	-
dc.subject	War Risk	-
dc.subject	Stock Markets	-
dc.subject	Monetary Policy	-
dc.subject	Identification	-
dc.subject	Heteroskedasticity	-
dc.title	The Effects of War Risk on U.S. Financial Markets	-
dc.type	Working Paper	-
Appears in Collections:	MIT Items

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