Journal
JOURNAL OF BANKING & FINANCE
Volume 29, Issue 7, Pages 1769-1789Publisher
ELSEVIER SCIENCE BV
DOI: 10.1016/j.jbankfin.2004.06.040
Keywords
war; Iraq; identification; heteroskedasticity
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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. (c) 2004 Published by Elsevier B.V.
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