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MultiATSM (version 1.2.0)

Multicountry Term Structure of Interest Rates Models

Description

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) . Multicountry extensions such as the ones of Jotikasthira, Le, and Lundblad (2015, JFE) , Candelon and Moura (2023, EM) , and Candelon and Moura (Forthcoming, JFEC) are also available.

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install.packages('MultiATSM')

Monthly Downloads

324

Version

1.2.0

License

GPL-2 | GPL-3

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Repository

https://github.com/rubensmoura87/MultiATSM

Maintainer

Rubens Moura

Last Published

January 27th, 2025

Functions in MultiATSM (1.2.0)

Transformation of a PSD matrix (auxiliary form)

BUnspannedAdapJoint

Transform B_spanned into B_unspanned for jointQ models

Boot_Yields_Graphs

Build P-dynamic graphs after the bootstrap implementation

BUnspannedAdapSep_BS

Obtain the full form of B unspanned for "sep Q" models within the bootstrap setting

Boot_DataGraphYield_perShock

Generates the desired bootstrap graphs

BUnspannedAdapSep

Transform B_spanned into B_unspanned for sepQ models

Boot_Fac_Graphs

Build P-dynamic graphs after the bootstrap implementation

Boot_DataGraphFact_perShock

Generates the desired bootstrap graphs

Bias_Correc_VAR

Estimates an unbiased VAR(1) using stochastic approximation (Bauer, Rudebusch and Wu, 2012)

Replications of the JPS (2014) outputs by Bauer and Rudebusch (2017)

Build the list of IRF and GIRF for both factors and bond yields

Build Confidence intervals for yield-related outputs

Obtain the auxiliary values corresponding to each parameter, its size and its name

Preliminary checks for inputs provided for the performing out-of-sample forecasting

BuildRiskFactors_BS

Build the time-series of the risk factors in each bootstrap draw

Build the time-series of bond yields for each bootstrap draw

Build country-specific link matrices

Check_label_consistency

Check consistency of labels (economies, domestic and global variables)

BootstrapBoundsSet

Builds the confidence bounds and graphs (Bootstrap set)

BuildATSM_RiskFactors

Builds the time series of the risk factors that are used in the estimation of the ATSM

Boot_graph_template

Builds template from bootstrap-related graphs

CholRestrictionsJLL

Impose the zero-restrictions on the Cholesky-factorization from JLL-based models.

Compute FEVDs for all models

CleanOrthoJLL_Boot

Clean unnecessary outputs of JLL models in the bootstrap setup

ExpectedComponent

Get the expected component of all models

Compute GFEVDs for all models

Convert2JordanForm

Convert a generic matrix to its Jordan form

FEVDs and GFEVDs for all models

Gather data of several countries in a list. Particularly useful for GVAR-based setups (Compute "GVARFactors")

CheckInputsForMLE

Check consistence of inputs

Mean of the llk function used in the estimation of the selected ATSM

Build the GVAR(1) from the country-specific VARX(1,1,1)

Build the list of IRF and GIRF for both factors and bond yields

ComputeBounds_FEVDandGFEVD

Compute the confidence bounds around the P-dynamics and bond yields for FEVD and GFEVD

Prepare the factor set for GVAR models (Bootstrap version)

FactorBounds_FEVDandGFEVD

Compute the confidence bounds for the model bond P-dynamics-related outputs

DataForEstimation

Retrieves data from Excel and build the database used in the model estimation

DomesticMacroVar

Data: Risk Factors - Candelon and Moura (forthcoming, JFEC)

Compute the Feedback matrix of each bootstrap draw

ComputeBounds_IRFandGIRF

Compute the confidence bounds from the model's numerical outputs

EstimationSigma_GVARrest

Estimate numerically the variance-covariance matrix from the GVAR-based models

mean of the llk function used in the estimation of the selected ATSM

Compute GIRFs for all models

Performs state rotations

CheckInputsGVAR

Check consistency of the inputs provided in GVARinputs

Compute quantiles for model P-dynamics

Estimates a GVAR(1) and a VARX(1,1,1) models

Data: Risk Factors for the GVAR - Candelon and Moura (2023)

FeedbackMatrixRestrictionsJLL

Set the zero-restrictions on the feedback matrix of JLL's P-dynamics

FolderPrep_FEVDs

Create folders for storing IRFs and GIRFs

Generates the bootstrap-related outputs

Compute IRFs of all models

FolderCreation_Boot

Creates folder to store graphs generated from the bootstrap analysis

FEVDandGFEVD_BS

FEVDs and GFEVDs after bootstrap for all models

Functionf_vectorized

Use function f to generate the outputs from a ATSM

FactorBounds_IRFandGIRF

Compute the confidence bounds for the model P-dynamics

GaussianDensity

computes the density function of a gaussian process

FolderCreationBoot

Creates the folders and the path in which the graphical outputs are stored (Bootstrap version)

FolderCreationPoint

Creates the folders and the path in which the graphical outputs are stored (point estimate version)

Check consistency of the inputs provided in JLL-based models

Creates the confidence bounds and the graphs of FEVDs and GFEVDs after bootstrap (all models)

Generate the factor labels for models estimated on a country-by-country bases

Compute the parameters used in the P-dynamics of the model

Compute the forward premia for all models

Data: Risk Factors - Candelon and Moura (forthcoming, JFEC)

Compute the expected component for all models

Compute_BnX_AnX

Compute the latent loading AnX and BnX

GraphicalOutputs

Generate the graphical outputs for the selected models (Point estimate)

Check_comparison__OLS

check whether mean/median of OLS is close to actual OLS estimates

Generate the variable labels of the JLL models

Map constrained parameters b to unconstrained auxiliary parameters a.

Gen_Artificial_Series

Generate artificial time-series in the bootstrap setup

Map auxiliary (unconstrained) parameters a to constrained parameters b

Compute the A loadings

Get_SigmaYields

Compute the variance-covariance matrix of the bond yields

Compute the log-likelihood function

Compute the B matrix of loadings

Collect both the domestic and global unspanned factors of all countries in single matrices

Set up the vector-valued objective function (Point estimate)

Data: Risk Factors for the GVAR - Candelon and Moura (forthcoming, JFEC)

Impose stationary constraint under the risk-neutral measure

Generate the labels of the spanned factors

IRFandGIRFs_Format_Fac

Gather data for IRFs and GIRFs grahs (version "Factors")

IRFandGIRFgraphs

IRF and GIRF graphs for all models

ImposeStat_True

Makes sure that the stationary constraint under the risk-neutral measure is preserved

Compute r0 for the various models

GetYields_AllCountries

Gather all country-specific yields in a single matrix of dimension CJ x T

Create a vector of numerical maturities in years

Factors_NonOrtho

Makes the pre-allocation of the factors set for JLL-based models

BUild the B loadings

IRFs and GIRFs after bootstrap for all models

Creates the confidence bounds and the graphs of IRFs and GIRFs after bootstrap

Estimates the P-dynamics from JLL-based models

FolderPrep_IRFs

Create folders for storing IRFs and GIRFs

MarginalModelPara

Estimate the marginal model for the global factors

Check for JLL models for Jordan restrictions (auxiliary form)

Replications of the JPS (2014) outputs by the MultiATSM package

Get the intercept, feedback matrix and the variance-covariance matrix from GVAR without global factors

Generate the labels of the star variables

Obtain the non-orthogonalized model parameters

IDXZeroRestrictionsJLLVarCovOrtho

Find the indexes of zero-restrictions from the orthogonalized variance-covariance matrix from the JLL-based models

Constructs the model numerical outputs (model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition)

EstimationSigma_Ye

Estimate numerically the Cholesky-factorization from the JLL-based models

Adjust vector of maturities

Loads data sets from several papers

IRFs and GIRFs for all models

FEVDandGFEVDgraphs

FEVD and GFEVD graphs for all models

Obtain the indexes of both the domestic and global unspanned factors

RiskFactorsGraphs

Spanned and unspanned factors plot

VAR(1) with orthogonalized factors (JLL models)

Extract the indexes related to the spanned factors in the variance-covariance matrix

OutputConstruction

Numerical outputs (variance explained, model fit, IRFs, GIRFs, FEVDs, GFEVDs, and risk premia decomposition) for all models

Perform the optimization of the log-likelihood function of the chosen ATSM

Compute the root mean square error ("sep Q" models)

Compute the root mean square error ("joint Q" models)

Exclude series that contain NAs

NumOutputs_Bootstrap

Numerical outputs (IRFs, GIRFs, FEVD, and GFEVD) for bootstrap

Generates forecasts of bond yields for all model types

Compute the maximum likelihood function of all models

FEVDandGFEVDs_Graphs

Generates graphs for FEVDs and GFEVDs

ParaATSM_opt_ALL

Update the list of parameters

Estimate the risk-neutral feedbak matrix K1Q using linear regressions

OptimizationSetup_ATSM

Optimization routine for the entire selected ATSM

GVAR_PrepFactors

Prepare risk factors for the estimation of the GVAR model

Transformation of the block diagonal parameters (true form)

SpannedFactorsjointQ

Gather all spanned factors ("joint Q" models)

RiskFactorsPrep

Builds the complete set of time series of the risk factors (spanned and unspanned)

Outputs2exportMLE

Prepares inputs to export

SpannedFactorsSepQ

Gather all spanned factors ("sep Q" models)

Eliminates the @

Transition_Matrix

Computes the transition matrix required in the estimation of the GVAR model

Data: Trade Flows - Candelon and Moura (forthcoming, JFEC)

Estimates a standard VAR(1)

Gather_Forecasts

Gather several forecast dates

VarianceExplained

Percentage explained by the spanned factors of the variations in the set of observed yields for all models

Compute P-dynamics parameters using the bias correction method from BRW (2012)

GetPdynPara_NoBC

Compute P-dynamics parameters without using the bias correction method from BRW (2012)

Data: Trade Flows - Candelon and Moura (2023)

Build subplot for fitted yields

Transformation of the Jordan-related parameters (True form)

Compute the term premia

WishGraphs_FEVDandGFEVD_Boot

Extract graphs of interest (bootstrap version)

TermPremiaDecomp

Decomposition of yields into the average of expected future short-term interest rate and risk premia for all models

Compute Sigmas/Cholesky factorizations

Estimate a VARX(1,1,1)

Compute the feedback matrix from a GVAR model with global factors

IRFandGIRFs_Format_Yields

Gather data for IRFs and GIRFs grahs (version "Yields")

Transformation of a PSD matrix (true form)

Model fit graphs for all models

Find the indexes of the spanned factors

Gen_Forecast_Yields

compute the bond yield forecast for any model type

Model-implied yields (P-dynamics)

Estimate a VAR(1) - suited to Bauer, Rudebusch and Wu (2012) methodology

YieldBounds_FEVDandGFEVD

Compute the confidence bounds for the model bond yield-related outputs

Spanned_Factors

Computes the country-specific spanned factors

YieldQuantile_bs

Compute quantiles for model bond yield-related outputs

Update the variance-covariance matrix from the "JLL joint Sigma" model. Necessary for optimization

Data: Yields - Candelon and Moura (forthcoming, JFEC)

Update_ParaList

converts the vectorized auxiliary parameter vector x to the parameters that go directly into the likelihood function.

SpecificMLEInputs

Concatenate the model-specific inputs in a list

Perform out-of-sample forecast of bond yields

Wished_Graphs_IRFandGIRF

Extract list of desired graph features (IRFs anc GIRFs)

Reg__OLSconstrained

Restricted OLS regression

Prepare outputs to export after the model optimization

GeneralMLEInputs

Gathers the general inputs for model estimation

Generate M data sets from VAR(1) model

Create the variable labels used in the estimation

Model-implied yields (cross-section)

pca_weights_one_country

Weight matrix from principal components

Compute some key parameters from the P-dynamics (Bootstrap set)

Find mean or median of OLS when DGP is VAR(1)

computes the logarithm of determinant of a matrix A

Transform x to a number bounded btw lb and ub by:

residY_original

Compute the residuals from the observational equation

Compute risk-neutral intercept and slope

Generates the star variables necessary for the GVAR estimation

YieldsFitAllSep

Fit yields for all maturities of interest

Check whether one element is a subset of another element

Transform a number bounded between a lower bound and upper bound to x by:

Inverse each 2D slice of an array (M) with arbitrary dimensions support

Transform x to a positive number by: y = log(e^x + 1)

Term Premia decomposition graphs for all models

Generates several inputs that are necessary to build the likelihood function

Obtain the country-specific a0

Compute the variance-covariance matrix after the bias correction procedure

Generates the labels factors

InputsForOutputs

Collects the inputs that are used to construct the numerical and the graphical outputs

Data: Risk Factors - Candelon and Moura (2023)

Transform a positive number y to back to x by:

Impose stationarity under the Q-measure

Inverse each 2D slice of an array (M) with arbitrary dimensions support

Computes numerical first order derivative of f(x)

multiprod_2terms

computes matrix product for arrays a and b: c[,,i] = a[,,i] b[,,i]

Inverse the (m,m,T) array of matrices for m<=4

WishGraphs_IRFandGIRF_Boot

Extract graphs of interest (bootstrap version)

Wished_Graphs_FEVDandGFEVD

Extract list of desired graph features (IRFs anc GIRFs)

Optimization_PE

Peform the minimization of mean(f)

Transformation of the bounded parameters (True form)

Transformation of the JLL-related parameters (true form)

Get coefficients from the orthogonalized regressions

Killan's VAR stationarity adjustment

Computes two measures of model fit for bond yields (all models)

ResampleResiduals_BS

Compute the residuals from the original model

Data: Risk Factors - Candelon and Moura (forthcoming, JFEC)

Compile the bond yield forecast for any model type

YieldBounds_IRFandGIRF

Compute the confidence bounds for the model bond yield-related outputs

Compute the square root of a matrix

YieldsFitAllJoint

Fit yields for all maturities of interest

Inverts an array of matrices so that: inva[,,i] = inv(a[,,i])

Extract the parameter values from the parameter list set

Build the log-likelihood function of the P-dynamics from the JLL-based models

Efficient computation of matrix product for arrays

AdjustYieldsDates

Makes sure that the time series of yields and risk factors have coincident sample spans

Transformation of the block diagonal parameters (auxiliary form)

Gathers the estimate of the bootstrap draws

Generate paths to save IRFs/GIRFs graphs

Transformation of the bounded parameters (auxiliary form)

Transformation of the Jordan-related parameters (auxiliary form)

Adjust_Const_Type

Adjust the constant label

Compute the cross-section loadings of yields of a canonical A0_N model

AdjustPathFEVDs

Generate paths to save IRFs/GIRFs graphs

Transformation of the JLL-related parameters (auxiliary form)