DomMacro

<p>Domestic risk factors data used in Candelon and Moura (2024, JFEC)</p>

risk

factors

domestic

unspanned

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

DomMacro function

<p>A matrix of country-specific risk factors (inflation and economic activity growth) for Brazil, China, Mexico, and Uruguay.
The data have monthly frequency and span the period from June/2004 to January/2020.</p>

Format

Data: domestic risk factors - Candelon and Moura (2024, JFEC) — DomMacro

Data: domestic risk factors - Candelon and Moura (2024, JFEC)

DomMacro: Data: domestic risk factors - Candelon and Moura (2024, JFEC)

Description

Usage

Arguments

Format

References