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st: Pooling Data for Exchange Rate Contagion Study


From   Andrew Reed <[email protected]>
To   [email protected]
Subject   st: Pooling Data for Exchange Rate Contagion Study
Date   Tue, 13 Aug 2013 13:44:33 +0200

This is probably easier than I expect it to be, but I need some help in transforming a rather simple though into practical stata commands. I am attempting to measure how credit rating news for a single entity affects the exchange rates for other entities. It is a fairly basic thought. Measuring the effect of a credit rating news announcement on an entity's 'own' exchange rate it simple enough. I merely run a fixed effects regression on my panel data and bingo. But in reading the articles on the subject they state that their methodology is to pool the exchange rate changes of all countries that are not the event country. This would be easy enough if all I wanted was to see how one of my 79 entities affected the others, but I want to run a regression for all 79 entities at once, seeing the general effects that these entities have on the 'non-event' countries. 

Hopefully someone can help me with this conundrum.

Andrew Reed
University of Copenhagen


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