Journal of Banking & Finance Vol. 29 No. 7 2005
The effects of war risk on US financial markets
open access
Abstract
This paper measures the effects of the risks associated with the war in Iraq on various US financial variables using a heteroskedasticity-based estimation technique. The results indicate that increases in war risk caused 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 variances of these financial variables over the three months leading up to the arrival of coalition forces in central Baghdad.
- DOI
- 10.1016/j.jbankfin.2004.06.040
- Volume
- 29
- Issue
- 7
- Pages
- 1769-1789
- Language
- en
- Sources
- crossref openalex bibtex:phds-export.bib