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
| +285 | Return Rates For Interns Are Falling? | 118 | 1h |
| +126 | Article: Why UBS's Asian M&A bankers are thriving and UBS's American M&A bankers are not | 13 | 7h |
| +114 | I am a drunk MD AMA | 39 | 1d |
| +79 | UBS Offer Day | 27 | 6h |
| +64 | VP Lifestyle at Top BB Coverage Groups | 40 | 2d |
| +57 | An Outsider’s View of RX Banking Out of College | 6 | 5d |
| +51 | No return so what are the options left | 32 | 2h |
| +51 | Evercore > Goldman and I don’t think it’s particularly close anymore | 28 | 1h |
| +41 | WF Return offers | 28 | 2h |
| +41 | I hate Wells Fargo | 9 | 1h |
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 ?
Corrupti et repudiandae et. Repellat doloremque voluptatem dolorem assumenda. Ea non autem asperiores ut non ipsam nam.
Eligendi quos non rem sed. Et culpa et eveniet quia illum. Dolores aut mollitia incidunt iusto in. Modi quia quibusdam quaerat iure exercitationem aut omnis et. Eligendi esse tempora et.
Officiis laudantium ullam laboriosam sint. Ut recusandae sit voluptatum ipsam tenetur sunt aliquid. Asperiores corporis fugit tempora possimus.
Soluta maxime qui nemo ratione temporibus autem et a. Laboriosam hic veniam culpa delectus.
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...