RiskFacFull

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

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

RiskFacFull function

<p>matrix containing the full risk factors: (i) global unspanned factors (global economic activity and global inflation); (ii) domestic unspanned factors (economic activity and inflation); and (iii) domestic spanned factors (level, slope, and curvature).
Economic system is formed by Brazil, China, Mexico and Uruguay. The data have monthly frequency and span the period from June/2004 to January/2020.</p>

RiskFacFull: Data: Full set of risk factors - Candelon and Moura (2024, JFEC)

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