MultiATSM (version 0.3.6)

JLL: Set of inputs present at JLL's P-dynamics

Description

Set of inputs present at JLL's P-dynamics

Usage

JLL(NonOrthoFactors, N, JLLinputs)

Value

List of model parameters from both the orthogonalized and non-orthogonalized versions of the JLL's based models

Arguments

NonOrthoFactors

Risk factors before the orthogonalization (FxT)

N

Number of country-specific spanned factors

JLLinputs

List of necessary inputs to estimate JLL outputs:

1. Economies: set of economies that are part of the economic system (string-vector)

2. "DomUnit": name of the economy which is assigned as the dominant unit.
   If no dominant unit is assigned, then this variable is defined as "None"

3. WishSigmas: equal to "1" if one wishes the variance-covariance matrices and the Cholesky factorizations (can take long if they need to be estimated). Set "0", otherwise.

4. SigmaNonOrtho: NULL or some F x F matrix from the non-orthogonalized dynamics

5. JLLModelType: available options are "JLL original", "JLL jointSigma" or "JLL NoDomUnit"

Details

For the models 'JLL original' or "JLL jointSigma" the name of one dominant economy must assigned.
For the model 'JLL NoDomUnit', the name of one dominant economy must be set as "None".

References

Jotiskhatira, Le and Lundblad (2015). "Why do interest rates in different currencies co-move?" (Journal of Financial Economics)

Examples

# \donttest{
data(CM_Factors)
ZZ <- RiskFactors
N <- 3

JLLinputs <- list()
JLLinputs$Economies <- c( "China", "Brazil", "Mexico", "Uruguay")
JLLinputs$DomUnit <- "China"
JLLinputs$WishSigmas <- 1
JLLinputs$SigmaNonOrtho <- NULL
JLLinputs$JLLModelType <- "JLL original"

JLL(ZZ, N, JLLinputs)

# }