BuildFEVDlist

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

internal

Package for estimating, analyzing, and forecasting multi-country macro-finance affine term structure models (ATSMs). All setups build on the single-country unspanned macroeconomic risk framework from Joslin, Priebsch, and Singleton (2014, JF) <doi:10.1111/jofi.12131>. Multicountry extensions by 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. The package also provides tools for bias correction as in Bauer Rudebusch and Wu (2012, JBES) <doi:10.1080/07350015.2012.693855>, bootstrap analysis, and several graphical/numerical outputs.

Rubens Moura

MultiATSM

Multicountry Term Structure of Interest Rates Models

BuildFEVDlist function

<dl><dt>NumOut</dt>
<dd>list of computed outputs containing the model fit, IRFs, FEVDs, GIRFs, GFEVDs and Term Premia</dd>
<dt>Economies</dt>
<dd>Economies of the economic system</dd>
<dt>ModelType</dt>
<dd>Desired model type</dd>
<dt>FEVDhoriz</dt>
<dd>time-horizon of the FEVD and GFEVD</dd>
<dt>FacDim</dt>
<dd>dimension of the risk factor vector</dd>
<dt>YieldsDim</dt>
<dd>dimension of the model set of yields</dd>
<dt>OutputType</dt>
<dd>available option are 'FEVD' and 'GFEVD'</dd></dl>

Arguments

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

<dl>

<dt>NumOut</dt>
<dd>list of computed outputs containing the model fit, IRFs, FEVDs, GIRFs, GFEVDs and Term Premia</dd>


<dt>Economies</dt>
<dd>Economies of the economic system</dd>


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


<dt>FEVDhoriz</dt>
<dd>time-horizon of the FEVD and GFEVD</dd>


<dt>FacDim</dt>
<dd>dimension of the risk factor vector</dd>


<dt>YieldsDim</dt>
<dd>dimension of the model set of yields</dd>


<dt>OutputType</dt>
<dd>available option are 'FEVD' and 'GFEVD'</dd>

</dl>

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

Description

Usage

Arguments