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 |
|