MultiATSM (version 0.3.6)

A0N__computeBnAn_jointQ: Compute the cross-section loadings of yields of a canonical A0_N model ("joint Q" models)

Description

Compute the cross-section loadings of yields of a canonical A0_N model ("joint Q" models)

Usage

A0N__computeBnAn_jointQ(mat, K1XQ, dX, r0, SSX, Economies)

Value

List containing:

• Intercept (Jx1)

• slope (JxN)

• the betan (JX1, part of the intercepts unrelated to the long run risk neutral mean r0) coefficients of a canonical A_0(N).

Arguments

mat

vector of maturities (J x 1). Maturities are in multiples of the discrete interval used in the model

K1XQ

risk neutral feedback matrix (N x N)

dX

state loadings for the one-period rate (1xN). Default is a vector of ones

r0

the long run risk neutral mean of the short rate (scalar)

SSX

the covariance matrix of the errors (N x N)

Economies

Set of economies that are part of the economic system (vector of text)

References

This function is an extended version of the "A0N__computeBnAn" function by Le and Singleton (2018).
"A Small Package of Matlab Routines for the Estimation of Some Term Structure Models."
(Euro Area Business Cycle Network Training School - Term Structure Modelling). Available at: https://cepr.org/40029