FolderPrep_IRFs

Create folders for storing IRFs and GIRFs

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 (2024, JFEC) <doi:10.1093/jjfinec/nbae008> are also available.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

FolderPrep_IRFs function

<dl><dt>OutputType</dt>
<dd>available options are "IRF", "GIRF", "IRF Ortho" and "GIRF Ortho"</dd>
<dt>WishPdynamicsgraphs</dt>
<dd>binary variable specifing whether the user whishes IRFs and/or GIRFs of risk factors</dd>
<dt>WishYieldsgraphs</dt>
<dd>binary variable specifing whether the user whishes IRFs and/or GIRFs of bond yields</dd>
<dt>Economies</dt>
<dd>Set of economies that are part of the economic system</dd>
<dt>ModelType</dt>
<dd>Desired modem type</dd>
<dt>Folder2Save</dt>
<dd>Folder path where the outputs will be stored.</dd></dl>

Arguments

Create folders for storing IRFs and GIRFs — FolderPrep_IRFs

<dl>

<dt>OutputType</dt>
<dd>available options are "IRF", "GIRF", "IRF Ortho" and "GIRF Ortho"</dd>


<dt>WishPdynamicsgraphs</dt>
<dd>binary variable specifing whether the user whishes IRFs and/or GIRFs of risk factors</dd>


<dt>WishYieldsgraphs</dt>
<dd>binary variable specifing whether the user whishes IRFs and/or GIRFs of bond yields</dd>


<dt>Economies</dt>
<dd>Set of economies that are part of the economic system</dd>


<dt>ModelType</dt>
<dd>Desired modem type</dd>


<dt>Folder2Save</dt>
<dd>Folder path where the outputs will be stored.</dd>

</dl>

FolderPrep_IRFs: Create folders for storing IRFs and GIRFs

Description

Usage

Arguments