From

http://en.wikipedia.org/wiki/World_War_I

"The earliest known use of the term First World War appeared during the war. German biologist and philosopher Ernst Haeckel wrote shortly after the start of the war:

There is no doubt that the course and character of the feared 'European War' ... will become the first world war in the full sense of the word.150
—Indianapolis Star, September 20, 1914

The term was used again near the end of the war. English journalist Charles A. Repington wrote:

entry, September 10, 1918: We discussed the right name of the war. I said that we called it now The War, but that this could not last. The Napoleonic War was The Great War. To call it The German War was too much flattery for the Boche. I suggested The World War as a shade better title, and finally we mutually agreed to call it The First World War in order to prevent the millennium folk from forgetting that the history of the world was the history of war.150
—The First World War, 1914-1918 (1920)"
Source(s):
http://en.wikipedia.org/wiki/World_War_I


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