Hey everyone, what would be the best type of econometrics model to run in order to measure financial contagion? I'm doing a paper on measuring the effects of a shock in one country to those surrounding it in terms of bond yields. I would like to use government bond yield fluctuations as a measure of contagion. I'm not sure which type of metrics testing I should be running. Any advice would be appreciated. Thanks
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I'm not an econometrics stud by any means, but what about doing something like looking at bond yield fluctuation in country A as a function of distance from the country where the shock originally happened as well as maybe a function of time since the shock? Should be able to find some rudimentary patterns that way.
vector autoregression ? structual vars ?
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