DomMacro_covid

<p>Domestic risk factors data used in the GVAR models - Candelon and Moura (2023)</p>

risk

factors

domestic

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_covid function

<p>A matrix of country-specific risk factors (inflation, output growth, CDS, and COVID-19 reproduction rate) for Brazil, India, Mexico, and Russia.
The data have weekly frequency and span the period from March 22, 2020, to September 26, 2021.</p>

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

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