GVARFactors

<p>Risk factors data used in the GVAR-ATSM from  Candelon and Moura (2024, JFEC)</p>

risk

factors

GVAR

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

GVARFactors function

<p>List of risk factors organized for GVAR estimation. It includes global unspanned factors (economic activity, inflation) and domestic factors—both unspanned (economic activity, inflation) and spanned (level, slope, curvature) with their starred counterparts.
The dataset covers Brazil, China, Mexico, and Uruguay at a monthly frequency from June 2004 to January 2020.</p>

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

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