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.
Identifer | oai:union.ndltd.org:MIT/oai:dspace.mit.edu:1721.1/1848 |
Date | 14 April 2003 |
Creators | Rigobon, Roberto, Sack, Brian P. |
Source Sets | M.I.T. Theses and Dissertation |
Language | en_US |
Detected Language | English |
Type | Working Paper |
Format | 244901 bytes, application/pdf |
Relation | MIT Sloan School of Management Working Paper;4417-03 |
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