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MultiATSM (version 1.3.1)

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 (2024, JFEC) are also available.

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install.packages('MultiATSM')

Monthly Downloads

324

Version

1.3.1

License

GPL-2 | GPL-3

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Repository

https://github.com/rubensmoura87/MultiATSM

Maintainer

Rubens Moura

Last Published

May 11th, 2025

Functions in MultiATSM (1.3.1)

Boot_Fac_Graphs

Build P-dynamic graphs after the bootstrap implementation

Boot_DataGraphFact_perShock

Generates the desired bootstrap graphs

Boot_Yields_Graphs

Build P-dynamic graphs after the bootstrap implementation

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

Transformation of a PSD matrix (auxiliary form)

BootstrapBoundsSet

Builds the confidence bounds and graphs (Bootstrap set)

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

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

CholRestrictionsJLL

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

BuildATSM_RiskFactors

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

BuildRiskFactors_BS

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

Build country-specific link matrices

CheckInputsForMLE

Check consistence of inputs

Boot_DataGraphYield_perShock

Generates the desired bootstrap graphs

CheckInputsGVAR

Check consistency of the inputs provided in GVARinputs

Bias_Correc_VAR

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

Check_label_consistency

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

BUnspannedAdapJoint

Transform B_spanned into B_unspanned for jointQ models

BUnspannedAdapSep_BS

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

DataForEstimation

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

BUnspannedAdapSep

Transform B_spanned into B_unspanned for sepQ models

Convert2JordanForm

Convert a generic matrix to its Jordan form

ComputeBounds_FEVDandGFEVD

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

CleanOrthoJLL_Boot

Clean unnecessary outputs of JLL models in the bootstrap setup

Compute quantiles for model P-dynamics

ComputeBounds_IRFandGIRF

Compute the confidence bounds from the model's numerical outputs

Prepare the factor set for GVAR models (Bootstrap version)

Boot_graph_template

Builds template from bootstrap-related graphs

Performs state rotations

Compute FEVDs for all models

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

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

Generates the bootstrap-related outputs

EstimationSigma_Ye

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

Build Confidence intervals for yield-related outputs

Compute GFEVDs for all models

Check consistency of the inputs provided in JLL-based models

FEVDandGFEVD_BS

FEVDs and GFEVDs after bootstrap for all models

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

GaussianDensity

computes the density function of a gaussian process

EstimationSigma_GVARrest

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

FactorBounds_FEVDandGFEVD

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

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

Gen_Artificial_Series

Generate artificial time-series in the bootstrap setup

DomesticMacroVar

Data: Risk Factors - Candelon and Moura (2024, JFEC)

Compute_BnX_AnX

Compute the latent loading AnX and BnX

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

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

Compute IRFs of all models

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

Factors_NonOrtho

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

Data: Risk Factors for the GVAR - Candelon and Moura (2024, JFEC)

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

Compute GIRFs for all models

FactorBounds_IRFandGIRF

Compute the confidence bounds for the model P-dynamics

Compute the Feedback matrix of each bootstrap draw

Check_comparison__OLS

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

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

GVAR_PrepFactors

Prepare risk factors for the estimation of the GVAR model

Model fit graphs for all models

FolderCreation_Boot

Creates folder to store graphs generated from the bootstrap analysis

Compute the forward premia for all models

FolderPrep_FEVDs

Create folders for storing IRFs and GIRFs

Build subplot for fitted yields

Compute the log-likelihood function

Compute the expected component for all models

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

Gather_Forecasts

Gather several forecast dates

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

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

Map constrained parameters b to unconstrained auxiliary parameters a.

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

Gen_Forecast_Yields

Compute the bond yield forecast for any model type

GeneralMLEInputs

Gathers the general inputs for model estimation

FeedbackMatrixRestrictionsJLL

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

GetPdynPara_NoBC

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

Compute the variance-covariance matrix after the bias correction procedure

FEVDs and GFEVDs for all models

Obtain the country-specific a0

FEVDandGFEVDs_Graphs

Generates graphs for FEVDs and GFEVDs

ExpectedComponent

Get the expected component of all models

FEVDandGFEVDgraphs

FEVD and GFEVD graphs for all models

Compute the A loadings

Compute the B matrix of loadings

Compute r0 for the various models

Generate the variable labels of the JLL models

IRFandGIRFs_Format_Yields

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

Compute the feedback matrix from a GVAR model with global factors

Get_SigmaYields

Compute the variance-covariance matrix of the bond yields

Generates forecasts of bond yields for all model types

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

FolderPrep_IRFs

Create folders for storing IRFs and GIRFs

Functionf_vectorized

Use function f to generate the outputs from a ATSM

Map auxiliary (unconstrained) parameters a to constrained parameters b

IRFs and GIRFs after bootstrap for all models

FolderCreationPoint

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

FolderCreationBoot

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

Build the B loadings

MarginalModelPara

Estimate the marginal model for the global factors

Find the indexes of the spanned factors

Data: Risk Factors - Candelon and Moura (2023)

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

IRFandGIRFgraphs

IRF and GIRF graphs for all models

OptimizationSetup_ATSM

Optimization routine for the entire selected ATSM

Adjust vector of maturities

IRFandGIRFs_Format_Fac

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

ImposeStat_True

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

Impose stationary constraint under the risk-neutral measure

Generates inputs necessary to build the likelihood function for the ATSM model

GetYields_AllCountries

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

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

Transition_Matrix

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

SpecificMLEInputs

Concatenate the model-specific inputs in a list

Create the variable labels used in the estimation

Spanned_Factors

Computes the country-specific spanned factors

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

Estimates the P-dynamics from JLL-based models

Data: Trade Flows - Candelon and Moura (2023)

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

Perform out-of-sample forecast of bond yields

Reg__OLSconstrained

Restricted OLS regression

Compute Sigmas/Cholesky factorizations

Exclude series that contain NAs

Check for JLL models for Jordan restrictions (auxiliary form)

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

Data: Risk Factors - Candelon and Moura (2024, JFEC)

Update_ParaList

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

Transformation of a PSD matrix (true form)

Transformation of the JLL-related parameters (true form)

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

GraphicalOutputs

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

Generate the labels of the spanned factors

Fit yields for all maturities of interest

Prepare outputs to export after the model optimization

Transformation of the Jordan-related parameters (True form)

Get coefficients from the orthogonalized regressions

Generate the labels of the star variables

IDXZeroRestrictionsJLLVarCovOrtho

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

Obtain the indexes of both the domestic and global unspanned factors

Generates the labels factors

Adjust delta for numerical differentiation

Compute the root mean square error for all models

Compute risk-neutral intercept and slope

YieldBounds_IRFandGIRF

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

Obtain the non-orthogonalized model parameters

YieldBounds_FEVDandGFEVD

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

Impose stationarity under the Q-measure

InputsForOutputs

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

Generates the star variables necessary for the GVAR estimation

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

Term Premia decomposition graphs for all models

Computes numerical first order derivative of f(x)

Estimate the risk-neutral feedbak matrix K1Q using linear regressions

Loads data sets from several papers

print.ATSMModelInputs

Print method for ATSMModelInputs objects

IRFs and GIRFs for all models

Compute the maximum likelihood function of all models

VAR(1) with orthogonalized factors (JLL models)

Killan's VAR stationarity adjustment

Optimization_PE

Peform the minimization of mean(f)

residY_original

Compute the residuals from the observational equation

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

OutputConstruction

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

Create a vector of numerical maturities in years

Complete list of several outputs from an ATSM

Optimization_Time

Compute the time elapsed in the numerical optimization

RiskFactorsGraphs

Spanned and unspanned factors plot

Outputs2exportMLE

Prepares inputs to export

ParaATSM_opt_ALL

Update the list of parameters

Data: Risk Factors - Candelon and Moura (2024, JFEC)

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

WishGraphs_FEVDandGFEVD_Boot

Extract graphs of interest (bootstrap version)

Transformation of the bounded parameters (True form)

ResampleResiduals_BS

Compute the residuals from the original model

RiskFactorsPrep

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

NumOutputs_Bootstrap

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

Transformation of the block diagonal parameters (true form)

TermPremiaDecomp

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

Compute the term premia

TimeVarWeights_GVAR

Compute the star variables with time-varying weights

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

plot.ATSMModelForecast

Plot method for ATSMModelForecast objects

Data: Trade Flows - Candelon and Moura (2024, JFEC)

Data: Yields - Candelon and Moura (2024, JFEC)

Transform a positive number y to back to x by:

VarianceExplained

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

Model-implied yields (P-dynamics)

Model-implied yields (cross-section)

WishGraphs_IRFandGIRF_Boot

Extract graphs of interest (bootstrap version)

Estimates a standard VAR(1)

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

Estimate a VARX(1,1,1)

Wished_Graphs_FEVDandGFEVD

Extract list of desired graph features (IRFs anc GIRFs)

Wished_Graphs_IRFandGIRF

Extract list of desired graph features (IRFs anc GIRFs)

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

Generate M data sets from VAR(1) model

summary.ATSMModelOutputs

Summary method for ATSMModelOutputs objects

Compile the bond yield forecast for any model type

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

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

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

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

pca_weights_one_country

Computes the PCA weights for a single country

summary.ATSMModelInputs

Summary method for ATSMModelInputs objects

YieldQuantile_bs

Compute quantiles for model bond yield-related outputs

Efficient computation of matrix product for arrays

Compute the square root of a matrix

AdjustYieldsDates

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

Transformation of the block diagonal parameters (auxiliary form)

Transformation of the bounded parameters (auxiliary form)

Transformation of the JLL-related parameters (auxiliary form)

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

Transformation of the Jordan-related parameters (auxiliary form)

AdjustPathFEVDs

Generate paths to save IRFs/GIRFs graphs

Generate paths to save IRFs/GIRFs graphs

Adjust_Const_Type

Adjust the constant label

Gathers the estimate of the bootstrap draws