@techreport{NBERw9609,
 title = "The Effects of War Risk on U.S. Financial Markets",
 author = "Roberto Rigobon and Brian Sack",
 institution = "National Bureau of Economic Research",
 type = "Working Paper",
 series = "Working Paper Series",
 number = "9609",
 year = "2003",
 month = "April",
 URL = "http://www.nber.org/papers/w9609",
 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.},
}