Testing for contagion
Posted: Wed Aug 22, 2012 5:40 am
Dear madam/sir,
I want to do a test for contagion with the following variables:
Dependent variable: sovereign yield spreads of non-event countries
Independentvariable: linear transformed rating changes in event country/countries.
The problem that appears is that I am using panel data with 12 countries. So for every event in a certain country, I have to select all the other countries in a panel for an event study. This has to changes automatically so I have a one result in whether other countries get affected when a rating change appears in a certain country.
Can anybody help me?
Regards,
Amana
I want to do a test for contagion with the following variables:
Dependent variable: sovereign yield spreads of non-event countries
Independentvariable: linear transformed rating changes in event country/countries.
The problem that appears is that I am using panel data with 12 countries. So for every event in a certain country, I have to select all the other countries in a panel for an event study. This has to changes automatically so I have a one result in whether other countries get affected when a rating change appears in a certain country.
Can anybody help me?
Regards,
Amana