TY  - JOUR
AU  - Rigobon,Roberto
AU  - Sack,Brian
TI  - The Effects of War Risk on U.S. Financial Markets
JF  - National Bureau of Economic Research Working Paper Series
VL  - No. 9609
PY  - 2003
Y2  - April 2003
UR  - http://www.nber.org/papers/w9609
L1  - http://www.nber.org/papers/w9609.pdf
N1  - Author contact info:
Roberto Rigobon
MIT Sloan School of Management
100 Main Street, E62-516
Cambridge, MA 02142
Tel: 617/258-8374
Fax: 617/258-6855
E-Mail: rigobon@mit.edu

Brian Sack
Executive Vice President and Head of Markets Group
Federal Reserve Bank of New York
33 Liberty Street
New York, NY 10045
E-Mail: brian.sack@ny.frb.org
AB  - 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.
ER  -