I estimate two factor models of Swiss exchange rates during the First World War. I have data for five of the primary belligerents: Britain, France, Italy, Germany, and Austria-Hungary. At the outbreak of the war, these nations suspended convertibility of their currencies into gold with the promise that after the war each would restore convertibility at the old par. However, once convertibility was suspended, the value of each currency depended on the outcome of the war. From these exchange rates I extract a common trend and a common factor. Movements in the common trend are consistent with the quantity theory of money. The common factor contains information on contemporaries’ expectations about the war’s resolution. This common factor and its innovations are correlated with time series on soldiers killed, wounded, and taken prisoner.