Yields_covid

<p>Bond yield data used in Candelon and Moura (2023)</p>

Yields

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_covid function

<p>A matrix containing Government bond yields with maturities of 12, 24, 36, 60, and 120 months for Brazil, India, Mexico, and Russia.
The data are at weekly frequency and cover the period from March 22, 2020, to September 26, 2021.</p>

Yields_covid: Data: Yields - Candelon and Moura (2023)

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