Get_Gy1

Compute the feedback matrix from a GVAR model with global factors

internal

Estimation routines for several classes of affine term structure of interest rates models. All the models are based on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015, JFE) <doi:10.1016/j.jfineco.2014.09.004>, Candelon and Moura (2023, EM) <doi:10.1016/j.econmod.2023.106453>, and Candelon and Moura (Forthcoming, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

Get_Gy1 function

<dl><dt>ParaVARX</dt>
<dd>List containing the set of VARX model parameters</dd>
<dt>GVARinputs</dt>
<dd>List of inputs for GVAR-based models</dd>
<dt>G1</dt>
<dd>feedback matrix from a GVAR without global variables</dd>
<dt>Phi.w1</dt>
<dd>feedback matrix from a marginal model</dd></dl>

Arguments

Compute the feedback matrix from a GVAR model with global factors — Get_Gy1

<dl>

<dt>ParaVARX</dt>
<dd>List containing the set of VARX model parameters</dd>


<dt>GVARinputs</dt>
<dd>List of inputs for GVAR-based models</dd>


<dt>G1</dt>
<dd>feedback matrix from a GVAR without global variables</dd>


<dt>Phi.w1</dt>
<dd>feedback matrix from a marginal model</dd>

</dl>

Get_Gy1: Compute the feedback matrix from a GVAR model with global factors

Description

Usage

Arguments