Get__BnXAnX

Compute the cross-section loadings of yields of a canonical A0_N model

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

Get__BnXAnX function

<dl><dt>mat</dt>
<dd>vector of maturities (J x 1).</dd>
<dt>K1XQ</dt>
<dd>risk-neutral feedback matrix (N x N)</dd>
<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>
<dt>r0</dt>
<dd>the long run risk neutral (scalar)</dd>
<dt>SSX</dt>
<dd>covariance matrix of the latent states (N x N)</dd>
<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd></dl>

Arguments

Compute the cross-section loadings of yields of a canonical A0_N model — Get__BnXAnX

<dl>

<dt>mat</dt>
<dd>vector of maturities (J x 1).</dd>


<dt>K1XQ</dt>
<dd>risk-neutral feedback matrix (N x N)</dd>


<dt>ModelType</dt>
<dd>string-vector containing the label of the model to be estimated</dd>


<dt>r0</dt>
<dd>the long run risk neutral (scalar)</dd>


<dt>SSX</dt>
<dd>covariance matrix of the latent states (N x N)</dd>


<dt>Economies</dt>
<dd>string-vector containing the names of the economies which are part of the economic system</dd>

</dl>

Get__BnXAnX: Compute the cross-section loadings of yields of a canonical A0_N model

Description

Usage

Arguments

References