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
Trending Content - Investment Banking Forum
| +137 | Piper Sandler in talks to acquire PWP | 61 | 10h |
| +125 | Interns without return offers, careers & perspective | 11 | 18h |
| +114 | UBS Appears to be Exploring Sale | 15 | 3h |
| +110 | Just One More Year | 11 | 2d |
| +82 | Are all these UBS postings bullshit? | 21 | 20h |
| +76 | Bringing Deals as a Vice President | 24 | 3h |
| +66 | Paradise Is Paradise | 5 | 22h |
| +37 | Q&A | Investment Banking Analyst, UBS | 2 years in investment banking | 11 | 1d |
| +35 | Q&A | Incoming Associate, Bulge Bracke, AMA: Career switcher (tech sales/BD → MBA → BB TMT IB), return offer | (6 years in Tech/Accounting) | 6 | 5d |
| +32 | M&A is Paradise | 1 | 2d |
Career Resources
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 ?
Architecto minus modi nihil illo ut. Distinctio sunt iure qui in autem fugit.
Qui tempore fuga eum doloribus quo cum qui. A fugiat sequi aperiam iure iste. Labore distinctio mollitia officiis voluptas porro magni odio.
See All Comments - 100% Free
WSO depends on everyone being able to pitch in when they know something. Unlock with your email and get bonus: 6 financial modeling lessons free ($199 value)
or Unlock with your social account...