GlobalMacro

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

Global

risk

factors

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

GlobalMacro function

<p>A matrix containing the time series of global risk factors, namely global economic activity and global inflation.
The data have monthly frequency and span the period from June/2004 to January/2020.</p>

GlobalMacro: Data: Risk Factors - Candelon and Moura (2024, JFEC)

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