Yields

<p>Yields data used in Candelon and Moura (2024, JFEC)</p>

Bond

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

Yields function

<p>A matrix containing bond yields with maturities of 3, 6, 12, 36, 60, and 120 months for Brazil, China, Mexico, and Uruguay.
The data are at monthly frequency and cover the period from June 2004, to January 2020.</p>

Yields: Data: bond yield data - Candelon and Moura (2024, JFEC)

Description

Usage

Arguments

Format

References