st: fixed effects panel regression with spillover effects

[Andrew Reed <drew.reed1@gmail.com>]

I'm currently researching possible exchange rate spillover effects that stem from credit rating agency news announcements. I have 9 differing exchange rates and 72 different entities I am using. I have specified my data as panel data. In running a regression to check for there being effects from an entity on its own exchange rate I use the following regression specification:

delta_exchange_i,t = intercept + B1news_announcment_i,t + controls_t + error_i,t

for spillover effects I want to investigate the following specification, where j is every entity besides country i, thus seeing how exchange rates are affected by news from one country.

delta_exchange_j,t = intercept + B1news_announcment_i,t + controls_t + error_ij,t

I am assuming that I need to maybe create a new exchange rate variable for each entity, something that pools all of the exchange rate movements of different currencies. Is there a straightforward way to do this in Stata in order to pool these exchange rates? And if I have several entities that share the same exchange rate, for instance those in the European Union, I'm guessing I should leave out the Euro as movements in this rate are already accounted for in the first regression. 

Any help or questions that help me crystalize my idea are welcome.

Thanks

Andrew Reed 
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