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 …

rare. Our methodology avoids look-ahead bias and addresses semantic shifts. War discourse positively predicts market …-grade corporate bonds. The predictive power of war discourse increases in more recent time periods …

monetary policy announcements in Mexico and the US. Once the surprise component of the announcements is considered, our results …

) approach suggested by Figlewski (2009). We compare these methods in the context of monetary policy announcements in Mexico and … exchange rate variations. Around event days in Mexico and the US, the results also indicate that, although both VFT and GEV …

conditions in Mexico, appreciate the peso/dollar exchange rate, lower the sovereign risk premium and forex volatility, and … increase stock prices, real activity and prices in Mexico. In contrast, restrictive US monetary policy shocks tighten financial … conditions, and reduce real activity and prices in Mexico. …